So I blew up a Dyson Lens which earned me an immediate 5-star wanted level. My squadron swooped in and I went to work on the Sentinel cap ship. I whittled its health down to a sliver of a pixel, and just for funsies I decided to hold back and let my squadron issue the killing blow. After a couple of passes and a dozen shots, they blew it up. But instead of the usual loot and message of the Sentinels retreating, the combat music continued and my wanted level was still maxed out. I took out the two remaining Sentinels and… the combat music was still playing and my wanted level did not clear. After flying around the area a bit, I went into the space station to clear my wanted level. That seemed to work as normal.

So yeah, make sure you finish off the Sentinel cap ship yourself. I imagine this may apply to pirate dreadnoughts, but i do not want to experiment to find out.