Does Ephemeral Ward get removed when using Orianna, Lady of Clockwork Legend ability on a gear?

No — using Lady of Clockwork on Ephemeral Ward doesn't remove it from play. Ephemeral Ward is printed as a Unit and a Gear, so it's already a unit-gear on the board; Orianna choosing it just sets its Might to its Energy cost (4) for as long as she has it chosen, and it stays right where it is.

When she later chooses a different gear the animation ends and it reverts to its printed characteristics, but it still isn't recalled — a Gear that is also a Unit is never bounced off a battlefield (Rules 178.1.a.1, 178.1.a.1.a). Its "Your units have +2 might" also keeps applying throughout (and applies to itself, since it's a unit), and animating is not "playing a unit," so its own "When you play a unit, kill this" doesn't fire. That self-kill trigger — not Orianna — is the only thing that removes it.