The privileges are not automatically removed. Let's consult the documentation, as always:
dropping a role is often not just a matter of a quick DROP ROLE. Any objects owned by the role must first be dropped or reassigned to other owners; and any permissions granted to the role must be revoked.
So, if the role owns any objects, you have to either transfer the ownership to someone else, or drop the object. These can be done by
REASSIGN OWNED BY doomed_role TO successor_role;
DROP OWNED BY doomed_role;
The important fact is that
DROP OWNED does not only the dropping:
DROP OWNED also takes care of removing any privileges granted to the target role for objects that do not belong to it. Because
REASSIGN OWNED does not touch such objects, it's typically necessary to run both
REASSIGN OWNED and
DROP OWNED (in that order!) to fully remove the dependencies of a role to be dropped.
A limitation you have to observe is that
DROP OWNED works only on the current database, and not on other databases that might also contain objects with privileges granted to the to-be-deleted role.