Why does the MCP4241 digital rheostat still work after Vdd is disconnected?
There are ESD protection networks on each input or output pin that act as diodes to Vcc and Vss. So it's completely possible for a CMOS chip to be powered inadvertently by an input (or, in this case, one of the emulated pot pins). 

Needless to say, this is not really kosher and you should not generally depend on this 'feature' as you're operating outside of the recommended operating conditions. 

Here, from Fairchild, is a detailed application note AN-248 covering the ESD networks used on certain of their CMOS chips: