how do I turn off or remove a rally point?

You should be able to set the rally point to the city that you want to cancel the rally point for (i.e. set the rally point to itself).
 
As Gary said, you shift right clicked on some case to get a rally point, do the same on your city to cancel it.
 
You can do it for all cities by selecting all cities and then shift-right clicking on one of them...that basically undoes all rallies.
 
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