Type conversion in expression may affect "CardinalityEstimate" in query plan choice?
The result of the query seems to be correct and the server executes it quickly.
But the root node of the execution plan has a warning:

Type conversion in expression (CONVERT_IMPLICIT(nvarchar(128),[o].[name],0)) may affect &quot;CardinalityEstimate&quot; in query plan choice

What does that mean in this context? Is such a complex filter confusing the optimizer? Is it something I should be worried about?

The warning is informational. If your query performed slowly, or you noticed that cardinality estimates were incorrect, the warning would give you information about where to look for a possible cause.
The warning is triggered by the implicit conversion used for the collation change. If using the collation is the easiest way to get correct results, feel free to leave it as it is. Alternatively, if you explain more about why it is needed, someone will advise you.
As an aside, the REPLACE could be replaced with:
REPLICATE(N'[0-9A-F]', 8);

(This answer is a summary of the comments to the question.)