SQL Server database level audit filtering does not work
In my case, MYDOMAIN\myuser was a server principal, not a database principal. Only the latter ones can be used in database audit definitions.

Database principals can be either database users, or roles (see documentation). I created a new database role to be used in the audit definition. Then I created the logins for the users in question and chose the apt role membership under User mapping.

Hint: For some reasons, it seems necessary to define the role prior to adding the logins for the users. Adding existing logins as role members did not work for me.