There's no way to remove them except by emptying the trash.
I've provide Apple with feedback about this "bug" but so far no fix available. There should be an option to exclude items in trash from the new REMINDERS/Flagged section of mail in Lion.
This has become a larger problem now that flags are available in iOS 5. For example, I often flag messages on my iPad/iPhone to remind me to deal with them when I'm using my main Mac. Once I've dealt with them I'd prefer to just move them to the trash rather than both unflag and trash these messages, but right now moving them to the trash does NOT remove them from REMINDERS/Flagged, which is a real pain.
This behavior can be implemented by creating your own smart folders for each colored flag, but then you lose the hierarchy and a total Flagged indicator.