Help with some questions!

Steam removing games doesn't affect game keys.
As far as I know, even if you do specify that in the description, it's not an obligation for the winner and you could still be punished with -1 giveaway slot should you not find an alternative way to provide the game key.

Like Frozen says, removal of games has nothing to do with the keys, the keys still work and you can still play the game as well, so that shouldn't give you any problems, point at shouldn't because it COULD always happen that they revoked the key or whatever but that is something Steam doesn't do but the devs do.

In creating a giveaway you "promise" to deliver that game to the winner.
If that delivery fails, e.g. due to the key not being valid, it is up to the winner to agree to delete the giveaway or mark it as "not received". That is true if you write a warning or not.

I will specify that in the giveaways description(enter at your own risk, the key may not work, or something like that), will it be any consequences for me? Am I allowed to do such giveaways?

You are allowed, and there will be no consequences for you in any way. Worst case scenario - you will get giveaway marked as "not received", but there is nothing bad or wrong about it. You only can be punished if you didn't provide a key at all, provided a key for a wrong game, of intentionally provided duped key, and in last case winner will have to prove that it was intentional.

Inherently, failing to deliver a game only loses you giveaway slots. However, any sort of potentially exploitative or disruptive trend (ie, you regularly not giving away the games you make listings for) may lead to a suspension. The same holds true if you engage in such actions and accompany them with statements clarifying that the actions were done intentionally. Staff is generally fairly lenient on suspensions; However, in circumstances where they feel it appropriate, the suspension may last until you're able to deliver some of the games you've previously made assurances on delivering.

Typically, keys aren't at risk of "expiring", except when the site or developer has an established trend of doing such. Even sites like GMG and IndieGala, who actively drop support after a duration and have at times had troubled reputations besides, should only very rarely be unreliable with their keys. Generally speaking, if there's no notice in the associated thread for a bundle key, there's not any meaningful risk of a bundle key not working.

For the keys you do have specific reason to feel iffy about (ie, they're from iffy sites, from dubious developers, or from bundles several years back), your best option is to look at Steamgifts-associated steam groups. Several groups prohibit their members from refusing a creator's deletion requestion if a key fails to work. This can't actually prevent the member from refusing a deletion but, as the alternative is being kicked from the group in question, it's a fairly reliable assurance on not encountering difficulties with your giveaway.

Lootboy SG (which can be found easily via Google) has no entry restriction, and doesn't appear to have any special considerations towards excessive numbers of failed giveaway, so it should be the most accessible option all-around.

Correct me if i'm wrong, but I suspect you won't get CV for most of them so you'd be wasting a lot of effort creating these giveaways in the first place. If you really want to giveaway stuff, just create a discussion, and then you can dish out keys as you wish on a first-come-first-served sort of basis - there are no rules against this, you just won't get the (very meagre) CV you may have gotten by creating proper giveaways.