I think it can be expressed a little more succinctly:

 ;WITH x AS 
 (
 SELECT Tid, Bid, [Action], [Status], Value, [Time], rn = ROW_NUMBER() 
 OVER (PARTITION BY Tid, Bid, [Status] ORDER BY [time] DESC)
 FROM dbo.MassiveTable
 )
 SELECT Tid, Bid, [Action], [Status], Value, [Time]
 FROM x WHERE Status = 'Executed' AND rn = 1
 AND NOT EXISTS 
 (
 SELECT 1 FROM x AS t
 WHERE t.Tid = x.Tid 
 AND t.Bid = x.Bid
 AND t.[Action] = 'Remove'
 );

Note that this assumes that a `Remove` value anywhere in the timeline makes that `Tid, Bid` combination invalid. If a `Remove` is always guaranteed to be last, and the only one in the timeline for that combination (or you don't care about earlier removes as long as they weren't the last entry), you can cheat and get a slightly more efficient plan:

 ;WITH x AS 
 (
 SELECT Tid, Bid, [Action], [Status], Value, [Time], rn = ROW_NUMBER() 
 OVER (PARTITION BY Tid, Bid, [Status] ORDER BY [time] DESC)
 FROM dbo.MassiveTable
 WHERE [Status] = 'Executed'
 )
 SELECT Tid, Bid, [Action], [Status], Value, [Time]
 FROM x WHERE [Action] <> 'Remove' AND rn = 1;

But those assumptions are important. Test all queries with this additional row of sample data:

 (3, 'B', 'Remove', 'Executed', 45, '15:23'),