It is correct that you cannot easily remove a particular file from Mercurial in the sense that doing so will disrupt all the changeset IDs in your repository. When you change the changeset IDs, everybody has to re-clone the repository. See the Wiki page about editing history for information about the consequences of modifying the history in Mercurial.
If that is okay to you (internal repository in a company), then take a look at the convert extension. It can do hg → hg conversions and has a –filemap argument which can be used to exclude files, among other things.