Andy and Anto,

this construct (where (app_id,seq_id) not in ...) doesn't work at OS390 V6.1 either. For both cases, you'll have to wait until DB2 UDB V8 for zOS.
Using version 6 for OS390, you need a subselect.

SELECT ...
FROM mytable M1
WHERE seq_id = 1
AND NOT EXISTS
(SELECT 1
FROM mytable M2
WHERE M2.app_id = M1.app_id
AND M2.seq_id > 1)

HTH,