This is by design. Denoise always applies to the original raw without any develop settings applied. That's why the Enhance Preview shows you just the denoised raw, not any other develop settings. After Denoise completes, the develop settings on the original are copied to the DNG, including any Remove settings.
If you don't like this design, you could post a feature request to do it differently.
"Some removal layers in the original image seems not to be included in the denoised image."
Please share the raw here so we can see where the problem might be. In Library, select the raw and do Metadata > Save Metadata To File. Then upload the raw and its .xmp sidecar to Wetransfer, Dropbox, Google Drive or similar free service and post the sharing link here.
