Is it true when you remove a user in Managed Reporting all users shared reports also get deleted. What is the proper way to do this? Users come and go and I need to remove them from the system but I wan to keep the reports they shared or at least give them to another user

That is correct. If they are the author of those shared reports, they are only associated with that MR user and if the MR user is deleted, so are their reports.

If you go through DevStudio, you can access User Management under the desired MR environment and copy reports from one user's "Custom Reports" to another user. But, I believe you then have to have those user's manually share those reports again. We keep a dummy user for some domains for this exact purpose - to hold shared reports of users that have moved on.