I've got this problem for a long time and just now discovered the reason why. This is not the expected behaviour (or at least in my opinion, it shouldn't be unless you specifically add to the rule that you want the whole group to fall in the filter, which is unfortunately not possible at the moment as far as I know. The odds are you don't even know that that e-mail is a group)
My way to solve this was to create the rule through Outlook desktop application instead of outlook.com
It seems the web app parses the e-mail into some sort of ID and detects it is a group and automatically apply the rule to the whole group.
Creating the rule in the desktop app, you can see the difference right away. It will show you the exact e-mail address instead of the group alias the web version shows. The rule will be applied to the server so you don't need to worry about having to use the desktop version just so the rules are applied. You only need to open it to create the rules.
About what is expected behaviour or not, I would assume the expected behaviour is the one from the desktop version as it came first. But that's just my opinion.
Edit: Later on I had issues with these again. Creating some rules through Desktop and some through Web caused my rules list to be corrupted from time to time, so I decided to completely ignore the existence of the Desktop application and now I only create rules in the Web version.
The problem with this is that we get back to OP's problem, to which I would suggest to go around this by frequently checking these folders and when you see somebody that shouldn't be there, add that e-mail as an exception to the rule.