Well with a little tinkering here is what I came up with:

;with C_Orders_CTE (conum, itemnum, coitemstat) as (

select conum

, itemnum

, coitemstat

from @Orders

where coitemstat = 'C'

), O_Orders_CTE (conum, itemnum, coitemstat) as (

select conum

, itemnum

, coitemstat

from @Orders

where coitemstat = 'O'

)

select distinct ord.conum

from @Orders ORD inner join

C_Orders_CTE C_CTE on ord.conum = C_CTE.conum

and ord.itemnum = C_CTE.itemnum left join

O_Orders_CTE O_CTE on C_CTE.conum = O_CTE.conum

where O_CTE.conum is null

Here is the result I get:

conum

AW00000253

SF00000389

SF00000390