Supported_features how do you use that?

There is a PR merged in 0.59.x for thermostats particulary this one

https://github.com/home-assistant/home-assistant/pull/10658

So how to use it and remove aux_heat?

What do you mean by “remove aux_heat”? Disable showing the controls in the front end? Remove the “SUPPORT_AUX_HEAT” flag from the supported features.

You can use the customize feature and set hidden: true if this appear as an entity