Is there an official guideline on the use of versions between server and client?
Are there combinations of versions known to be incompatible?
E.g. if you use server version X, the client must at least be version Y to work; or vice versa.
Server versions are pretty straight-forward.
With the Desktop Client, there is the 33.0.x series and then there is the 4.0.x series, there is a 3.2.x series and an oddball 6.2.0.
So, in the future, with the Client following the server versioning, the statement Each desktop client release supports the latest three stable Nextcloud server major versions at the time of release. will be easy to interpret.
So, as both the 33.0.x and the 4.0.x releases are currently maintained, I guess both should work.
See: Tags · nextcloud-releases/desktop · GitHub
Is there a rule/guideline of which can be newer?
Can a newer Client work with an older Server, vice versa?
Well, yes and no. 
Just to clarify: you don’t necessarily need the same client version as the server version for things to work properly. As far as I know, there are always at least two supported Nextcloud server versions at any given time, but there can only be one “latest” Nextcloud client.
I understand the idea behind using semantic versioning, but using the same version numbers as the server creates more confusion than it solves. Technically (and practically), there’s no real requirement for those versions to match. Otherwise, people still using Nextcloud 32, which is still supported, wouldn’t even be able to use the latest client, since there is no “32” client version. And going forward, there will always be at least two supported server versions anyway, so no, you really don’t need to worry about keeping those version numbers in sync.
This is somwhat of a typical Nextcloud thing, similar to the ever changing naming scheme of the server. For example, “Nextcloud Hub 26 Winter” is actually version 33, released at the end of winter… except now it’s spring. Meanwhile, version 32 (“Autumn”) is still supported, while the latest client is version 33—without any seasonal naming—and 32 is still stuck in “Autumn.”