That is called Meta data.
Rick has already said that a future version of Paint.NET will have a Meta data editor.
For now, you have already discovered a good way to clean it out. Although, be careful, some of those jpg cleaners clean out too much information (like width and height of the picture) which may render it uneditable in Paint.NET.
Another way is to select your work and copy it to a new document before saving. Ctrl-C, Ctrl-Alt-V