Correct. Users cannot currently choose which lists they are subscribed to. While there is a "User Profile" script available in the customizations forum
here it has not been expanded to include this feature. If that expansion interests you post a reply to the thread and I will see what I can do.
By default users are removed from the "current list" only. Therefore, if the user exists on other lists they may continue to receive email. As of the latest available version (v1.87d) "Remove Link" message codes can be set up to remove users from multiple or all lists, giving you more control over your removals.
Regards