From the screenshot, the condition of this rule is when the sender is external and the exception is the recipient is a member of the catchall group.
Thus if ******@mydomain.com is not a member of the catchall group, the rule would still be triggered.
If you check the mail flow process via message trace, you would see the rule was applied and the message was redirected and prepended with [CATCH-ALL].
If the goal is to prevent messages that are directly sent to ******@mydomain.com from being prepended with [CATCH-ALL] to the message subjects, you can add an additional exception: Except if the recipient is ******@mydomain.com.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.