Hey Risto,
Thank you for reaching out to us!
It’s certainly possible to automatically remove cancelled events, but remains something that we do not support “out of the box”: some amount of custom dev work would be required to make this happen.
We do have a list of recommended developers who could help you out with the code if necessary:
https://theeventscalendar.com/knowledgebase/find-a-customizer/
If you have any other questions at all please feel free to let me know and I’d be happy to help as best I can!
Thanks!
Patricia