Dunno if i'm missing something or this hasn't been implemented yet. how do/can you fire heroes you don't want or sell them to the market?

There is no way to sell or otherwise get rid of a hero. Being that they are very useful, there isn't exactly a reason to want to get rid of them.

well @Frogsquadron : you could always have bought a hero by mistake or have been forced into  getting a hero that doesn't interest you (for instance i only have 1 system without governor and i want an overseer to boost luxury/strategic production, but the 3 heroes i can chose from are not overseer and will be left to rot in academy)

do heroes cost unkeep while they are in academy?

yeah this is a similar issue I have, I have too many heroes in my academy and the notification are annoying me at the end of every turn