And what happens with the magnetic field of a star that goes supernova? The magnetic radiation is scattered through the cosmos? Each particle will go away with its own magnetic radiation?
In a star the magnetic field isn't a "thing" in it's own right, it's the result of motion of charged particles in the star. When a supernova goes bang the matter ejected will have some peculiar motion, i.e. motion relative to the overall outward flow, and as a result there will be magnetic fields in the ejected matter. These fields will get gradually weaker as the matter expands and dilutes, and will eventually merge with the magnetic fields in the host galaxy.
I had a quick Google and found this review discussing the magnetic fields in supernova remnants. This would be a good start if you're interested in the area.
To answer your title demagnetization is accomplished simply by passing an object in an oscillating magnetic field the higher the oscillations the faster that objects field is neutralized.
My attempt at responding to the body of your question follows:
Although there may be some demagnetization occurring the bulk of magnetic material will stay charged and blend in with the matter spread throughout the universe but this material will itself in fact have a residual magnetic field although compared to the background it will seem arbitrary.