Select latest phase of objects not marked "remove"
As I wrote in my edit of the question, I came to the following solution, which I think could be better optimized, but does the job:

SELECT *
FROM (
    SELECT *
    , MAX(numericphase.phase) OVER (PARTITION BY numericphase.uuid) AS s
    FROM (
        SELECT *
        , CASE
            WHEN status = 'REM' THEN 4
            WHEN status = 'FIN' THEN 3
            WHEN status = 'START' THEN 2
            WHEN status = 'CONF' THEN 1
            ELSE -1
        END AS phase
        FROM mytable
    ) numericphase
) lastphase
WHERE phase != 4
AND s = phase
AND s &gt; 0