Strange black box appearing in wpf application

This is new (and, actually, useful) feature in VS 2015 Update 2 (In-App Menu). It allows you to pick visuals directly from the screen and switch to visual tree viewer (see "Live Visual Tree" toolbox).

It affects debug mode only.

As the others have said it is a UI Debugger and can be very helpful. You don't need to go to the options menu to disable this though. There is a button that toggles it on and off in the Live Visual Tree tab.
See image UI Debugger toggle - visual studio

This is a new feature as of VS 2015 Update 2 XAML Diagnostics. This shows up only if you are debugging the application.

If you really need to disable this, there's an option in the Tools > Options > Debugging > General - Enable UI Debugging Tools for XAML > Show runtime tools in application