At the moment it's pretty hard to determine why you're banned as clicking on the review icon simply results in a message that says there's nothing to review. So yes the existing implementation is less than ideal.
Removing the icon however will mean that discovering you are banned is even harder. We'll just get meta questions asking why the icon has disappeared. Instead banned users clicking on the icon should be told explicitly that they are banned and more importantly why they are banned.
We could change the icon to have an additional red circle with an oblique line through it when you're banned for instance like this perhaps, as long as that is combined with an improved message when you click on it.
Many additional ban feedback mechanisms are possible and desirable. Some have been suggested here e.g. send a message to the user's global inbox.