Oh! So basically it doesn't matter if you remove them manually before parsing your data to DESeq2. I am going to combine data from multiple htseq-count runs (Protein-coding genes and long-noncoding RNAs) and normalize them together. So R converts 'no_feature' to 'no_feature1', 'no_feature2' and so on. And I will be using DESeqDataSetFromMatrix() to get my counts so I will just remove these rows manually. Thanks for the help!
P.S.: I am using htseq-count version 0.5.4p5 and there is no '__' before these names in the count file, not that it matters because you are removing it anyway.