I've tested this multiple times and you do not need to remove runes from a mercenary hero before you go to update his armor.
If you delete the mercenary hero, then add another mercenary hero with the same profession, his runes go back on to whatever character you had them on. same with weapons. even skills.
If you don't believe me, try for yourself. Buy a 100g rune and just put it on an armor piece. Delete that mecernary hero, and then re-add one with same profession.
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