I have never done this personally, but my gut feeling is to leave it. When castrating by banding, you wouldn't burn the stump...it's already withered up. I wouldn't think there would be anything to burn.
I've never banded horns, but I have heard there is a chance they may grow back. If my disbudding iron fit over the stump, I'd be inclined to try and remove the horn bud. When you castrate with the band, the testicals fall off so there is no need for further action. When you dehorn that way, there may be horn bud left. Kathie