How to remove apps from my list in the Windows 8 store?

No, you can't. Afaik, Microsoft doesn't allow people to hide purchases like Apple does on its app stores. You can only create a new Microsoft account which will clear all the apps from the list.

Once you download any app from the Windows Store, it gets added to your purchase history (even if it is free).

This has one advantage. Suppose, an app is released for free and you download it. Later, the developer increases the price of the app. You don't need to purchase the app because you already downloaded it when it was free. Also, you will receive free updates for the app forever.