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CREATE TABLE t
([DateTime] datetime, Message varchar(5))
;
INSERT INTO t
([DateTime], Message)
VALUES
('2022-09-09 00:00:00', 'Test1'),
('2022-09-09 01:00:00', 'Test2'),
('2022-09-09 02:00:00', 'Test1'),
('2022-09-09 03:00:00', 'Test1'),
('2022-09-09 04:00:00', 'Test3'),
('2022-09-09 05:00:00', 'Test4'),
('2022-09-09 06:00:00', 'Test1')
;

7 rows affected
select DateTime
,last_group as Message
from (
select *
,case when Message = 'Test1' and start_end = 1 then null else Message end as last_group
from (
select *
,count(case when Message = 'Test2' then 1 when Message = 'Test4' then 1 end) over(order by DateTime) as start_end
from t
) t
) t
where last_group is not null
DateTime Message
2022-09-09 00:00:00.000 Test1
2022-09-09 01:00:00.000 Test2
2022-09-09 04:00:00.000 Test3
2022-09-09 05:00:00.000 Test4
2022-09-09 06:00:00.000 Test1 
Warning: Null value is eliminated by an aggregate or other SET operation.