1) Open a savegame in hex editor
2) Search for the name of town
3) From the first letter of the town's name, go to offset +82(hex) and change byte to 00.
Voilá, the stockade will be gone and the city can be disbanded.
Many consider this cheating because it involves hex editing, but not me. If you follow the game rules and conquer the town first, then you may disable such a gameplay flaw that doesn't allow disbanding. If the game rule that says "no disbanding of towns with a few wooden planks as defense" would make any sense, then they shouldn't have built a rule that you can abandon cities with shipyards, fur factories or ammunition depots either!!
When I see an enemy town with stockade, then I just get artillery, bomb it out and conquer it, then save game, hex the stockade away and disband it, because on second thought it is allowed.