It may seem natural, perhaps, that turning off Track Changes would delete tracked changes. But it doesn't. (If it did, you could lose a lot of work with one mistake.)
Turning off Track Changes does not delete tracked changes (or comments).
Here's what it does do — when you turn off Track Changes, changes are no longer shown with markup: underlines, strikethroughs, and balloons.
But all changes already made in a document remain in that document, even after Track Changes is turned off.
To remove tracked changes (and comments), use the Reviewing toolbar to accept or reject revisions and to delete comments. Or you can use the right-click method to accept, reject, and delete on the shortcut menus.