Hello @Alex Rabbi
As explained above, you cant manually remove a user from a dynamic group. However, the best solution is to edit rule to add an additional expression like this... and (user.userPrincipalName -ne "theuser@domain")
Check your permission again as you only need to be assigned atleast a Group Administrator in order to perform this operation. If the issue persist, sign out and sign in again if the permission was recently assigned.
Let me know if further assistance is required