Items from your Wanted List will not be automatically removed after purchase. You can, however, view the items you have ordered and modify or delete them. Here's how it's done:
When you enable this option, you will now be able to see a Wanted List icon (it looks like a scroll) next to your orders placed:
Clicking the Wanted List icon will take you to a new page where you can edit/delete or move these items to a new Wanted List.