¿No se puede usar la columna temporal en la cláusula where?

Una solución sería hacer una subselección de toda la declaración, aplicando la cláusula where en su resultado

select  *
from    (
          select  cast(de.ApprovalOrder AS VARCHAR(32)) 
                  + cast(de.EntityCode AS VARCHAR(32)) 
                  + isnull(cast(de.DelegationCode AS VARCHAR(32)), '') as 'RowID'
                  , *
          from    workflow.delegation_engine de
        ) de 
where   de.RowID IS NOT NULL

Otra solución podría ser repetir toda la cláusula en la cláusula WHERE

select  cast(de.ApprovalOrder AS VARCHAR(32)) 
        + cast(de.EntityCode AS VARCHAR(32)) 
        + isnull(cast(de.DelegationCode AS VARCHAR(32)), '') as 'RowID' ,
        *
from    workflow.delegation_engine de
where   cast(de.ApprovalOrder AS VARCHAR(32)) 
        + cast(de.EntityCode AS VARCHAR(32)) 
        + isnull(cast(de.DelegationCode AS VARCHAR(32)), '') IS NOT NULL

O podría probar cada campo individual para NULL

select  cast(de.ApprovalOrder AS VARCHAR(32)) 
        + cast(de.EntityCode AS VARCHAR(32)) 
        + isnull(cast(de.DelegationCode AS VARCHAR(32)), '') as 'RowID' ,
        *
from    workflow.delegation_engine de
where   de.ApprovalOrder IS NOT NULL
        AND de.EntityCode IS NOT NULL