Why do epics not disappear when all work in them have been completed?

This is most likely because those epics contain backlog items of type bug, and those bugs have not yet been closed.

A bug isn't considered completed until it has been closed, regardless of its status or whether it has a resolution. For example, in the Backlog tab, if you select "Items not yet completed", you will see all open bugs, including bugs that have status Done or higher. And therefore, you will also see all epics that contain such open bugs. If you close those bugs, their parent epics will also change to being considered completed, and will no longer be shown.