Gramps has hebrew calander, see the date editor. So that is fully supported. I don't know what you mean with remembrance/Yahrzeit.
Hebrew language support would mean we need a user that contributes to have Gramps translated. The manual for translation is here: http://gramps-project.org/wiki/index.php?title=Translating_GRAMPS
Nobody did this up to now, but normally Gramps fully supports right to left languages in the interface, we had an arabic user for some time. Some countries/organizations have financial support to do translation.
Recording people killed in the Holocaust would be as any other thing. You make an eventype Holocaust, and add events to people with this eventtype. You could also share some events over people.
As was requested a couple of days ago, to have reports to print out people connected to shared events would be usefull. Having also in the website a tabpage to see events of some type, and all people connected to it, would also be a nice addition. These things are not too hard to add to gramps if the request is present.