Just wanted to give more details. Looking for gc roots for one of the many service instances created I indeed confirm that a reference is being held to my service class:
!mroot 0000000006e9c660
AppDomain 00000000006a4440: GCHandle(?) @ 000000001c0baf08
0000000006e9c728[System.ComponentModel.Composition.ReflectionModel.ReflectionComposablePart]
0000000006e9c660[Core.ConnectionService]