Answer
This is a confirmed gap rather than something you're misconfiguring — the documentation describes WHERE-clause filtering as something migration rules should support, but it doesn't actually work for the Excel Add-in in Cloud, and this has been reported as a bug without a confirmed fix as of testing on 22R1. If you hit this, there's currently no working configuration-level way to pre-filter the Excel Add-in's Load Data pull; check whether it's been resolved on your specific release before assuming it's a setup mistake on your end.