So, there's always been discussion around this, and supposedly Server 2016 and 2019 "support" CPU hot remove, but as far as I know that is only on Hyper-V, with it's dynamic allocation settings, not ESXi. Honestly, I can't see that leading to anything good, as changing your NUMA node while a kernel is running would throw everything into a hot mess in regards to memory addressing and such. I know Hyper-V does some, as they call it, magic to enable this. What they are doing is making everything one large NUMA node and goofing with the way the CPU addressing is handled between client and host. It really gives no benefit.
I have to ask, why would you want to Hot-Remove a CPU anyway? What would the practical purpose be? Also, you realize even having Hot-Add enabled messes with vNUMA and causes a performance hit just by having it enabled? Todd Muirhead wrote a wonderful article on this and references the proper KB's from VMware on this (https://blogs.vmware.com/performance/2019/12/cpu-hot-add-performance-vsphere67.html). Take a gander over it. Also, one thing I've also learned over the last two decades of using VMware is that the vCPU(s) of the VM is not tied to a particular pCPU (unless you've pinned it, in which case Dante is waiting) so it can run much harder than the equivalent pCPU as long as you don't have the VM oversized and don't have the host overloaded with too many oversized VMs (Co-Stop hell as I like to call it).
As for the direct answer to your question; they cannot list any and all features that are not supported/available. The lack of documentation that officially states that CPU Hot-Remove is supported should be evidence enough that it is not supported. Now if you are referring to that property of VirtualMachineConfigSpec called CpuHotRemoveEnabled that was found in the VISDK, if you try to run the code it will fail. I'm pretty sure this property got added for some future use, but that has never come to light. Funny that it is still in vSphere Web Services API v7.0 (https://code.vmware.com/apis/968).
$VMSpec=New-Object -Type VMware.Vim.VirtualMachineConfigSpec -Property @{"CpuHotRemoveEnabled" = $true}
$VM = Get-VM SomeVM
$VM.ExtensionData.ReconfigVM_Task($VMSpec)