There's currently no way to "disable" a certain SKU, or leave it out from the stock matrix. The best solution is probably what you are doing - simply make up a SKU, and set the stock level to 0 which will prevent it from selling (and allow you to display a message to customers when they select this combination).
Even if it were possible to disable a SKU, it would make front end templating tricky, because you would need to dynamically change which options were available in your select drop-downs (for example, hide the "Size 2" option when they chose "Black" in the first drop-down). This wouldn't be ideal from a UX perspective, because the customer might wonder why size 2 isn't an option, and not realize that size 2 is available for the Red version (so it's probably actually better to just leave it there as an option, but display an out of stock message when they select it).
The other option to overcome this is to just use a single modifier. This makes it clear the "Black Size 2" isn't an option. For example, just create a single modifier called "Style" with the following options:
- Red (Size 2)
- Red (Size 4)
- Red (Size 6)
- Black (Size 4)
- Black (Size 6)
This way your customers will only see a single drop-down on the front end, and it won't be as confusing for them.