For a very brief moment, Lex's system lost its connection to the System Network before promptly regaining it. When the Midnight Inn disappeared, even the network could no longer actively reach it, but the system had its own inbuilt protocols for such things.
Since the network couldn't reach it, the system actively sent out certain signals which connected to the network the moment they left the realm. These signals did not leave any traces, and did not mean that the system could now be tracked through them. After all, the designer of the system was very thoughtful and already anticipated a situation where a systemholder may be in hiding and achieve a truly monumental way of hiding.
Tracking that host would leave a vulnerability in his defenses which was contrary to the goal of getting the most entertainment.
