Since removal is such a thing to look out for wouldn't it be a good idea to have a commander that naturally has hexproof?
Yes, and that's part of the appeal with
Narset, Enlightened Master and
Animar, Soul of Elements. But having hexproof on it's own isn't enough; the commander also needs to be worth removing. Considering that Narset can potentially win off of one attack, it's totally worth using a
counterspell or
Toxic Deluge on her. The same can't be said of
Uril, the Miststalker. Pure voltron doesn't work in competitive commander because it takes 3 turns at best after the commander comes out to finish the game. If you'd like to know more, please start a new topic on it instead of continuing the discussion here. I'd hate a repeat of last time.
As for Lazav, he doesn't have a relevant ability for cEDH. Copying creatures that go in the graveyard is good, I guess, but he otherwise doesn't contribute anything to the deck. You would be better off with a different commander in the same colours. As for that
Mirran Spy combo, look at it objectively. It's a 4-card combo, with at least 3 dead cards (
Retraction Helix has a little bit of use). You'd be better off with just Dramatic Scpeter and
Oona Queen of the Fae as a commander.
With combos, it's important that they are easy to assemble and use few dead cards.