Is there a feature that automatically removes entries for games that you just won

nopeee there is not

it would be nice but there will be the problem of winning fake giveaways

It's been brought up recently actually. I'm sure it will be added in the near future after working out a few kinks.

I would approve. And my approval means a lot.

Well, The idea is nice, but it might not work very well...
1st, Say, you won a game and your other entries get deleted, then the guy that created the giveaway doesn't send you the gift/key! so you've lost your other chances too! -_-
2nd, how would the website know you've decided to purchase the game? lol you can just go to you're entries list, set the filter to open, withdraw your points from the giveaway.
Problem Solved.

It would be cool if only other entries was deleted but not the comments in them.

No, but I've never really found it difficult to go to this page and click Remove Entry a few times.