How does the new config_exclude_modules setting work exactly?
Enable the module and activate the filter by declaring $settings['config_exclude_modules'] in your settings.php file, eg:

$settings['config_exclude_modules'] = ['devel', 'stage_file_proxy'];


Now, when you export configuration (drush config-export), the selected modules should no longer show up in core.extension.yml and their configuration should not be exported.

Make sure first before doing that to remove these module from core.extensions.yml manually for the first time.

Update:
It seems to be related to a drush issues:
drush config:status does not respect excluded modules #4194