I seriously doubt that Maj. Erwin König, or any "German supersniper sent out to get Zaytsev" existed, let alone an effort to "remove him from history" after Zaytsev killed him.
Since there cannot be proof of non-existence, you'll have to take personal reasoning:
1) Propaganda. If there had been such a "super-sniper", he'd have had his appearance in the German war propaganda previous to the incident with Zaytsev. No such records exist, neither official nor unofficial. Snipers with comparable success existed (see 3) below), and weren't used as propaganda material. German propaganda focused on heroics and bravery, and a sniper provides for neither. So apparently there was nothing "super" about a sniper with a couple hundred kills in German eyes, let alone a reason for a big "clean-up effort" if he was killed.
2) School. As teacher at a Berlin sniper school, it should be easy to come up with records of at least that school existing. To my knowledge it never even has been properly named.
3) Rank. The most successful German sniper with historical record is Matthäus Hetzenauer. He has 345 kills credited to his name, not that much less than König's supposedly "over 400". Yet he never rose beyond Gefreiter rank (that's somewhat like PFC). This makes sense, because the moment you promote a sniper beyond enlisted, or possibly NCO rank, he'll stop serving as a sniper (which he's apparently good at), and start serving as a leader (which he might not be good at, and certainly stops him from lying in ambush with a sniper rifle). Only really prominent people were urged to retreat from the front lines for propaganda purposes -- we're talking the likes of Ulrich Rudel or Erich Hartmann. Having a sniper promoted all the way to Major in the German military and still have him serving actively (or recalling him to active duty) is highly unlikely.
4) Procedures. There are several other high-profile soldiers that were killed without "having all records deleted" to cover up. While the German propaganda machine certainly preferred positive news, the death of Hans-Joachim Marseille -- certainly a much more prominent soldier than this elusive Maj. König -- was even mentioned in the Wehrmachtsbericht, at around the same stage of the war. The effort to remove a certain sniper from history for propaganda reasons would be simply inconsistent.
5) Chances. Stalingrad was a battlefield for millions of soldiers. One enemy sniper that might have killed about 200 of your troops hardly matters if casualties ran into many hundreds of thousands, not even for propaganda reasons. (See 1) above.) Even if he mattered, the chances of an assassin actually finding that specific man on the battlefield (as opposed to "finding some random one of the thousands of Soviet snipers operating in the city bounds") are so infinitesimal that I seriously doubt anyone would have bothered.
So, in my eyes, this conspiracy theory is a poor attempt to cover up for what has been an embellishment of Zaytsev's (already remarkable) exploits with a superman story.