You need to provide an SFDC campaign ID, not name. SFDC IDs are 18 digits that uniquely identify a record in SFDC. You can find the 15 digits ID as well in the URL when you look at the campaign is SFDC.
It will look like this https://eu0.salesforce.com/70157000000sxnh
Thanks Gregoire for the response.
I am somewhat surprised that we can create a campaign member and also update the status using Campaign name. However, to remove a lead from campaign it requires ID. Any specific reason for this behavior?