EXPIRE command expired datasets from a Storage Group with AUTO MIGRATE = NO. As per the documentation these Data Sets should be skipped.
In order to have EXPIRE to skip Data Sets from Storage Group with AUTO MIGRATE = NO, sysparm SMSAMBYP needs to be set to N. The default of SMSAMBYPY causes EXPIRE to not take AUTO MIGRATE = NO into account and will process the Data Sets as per SMS rules from Management Class.
The same applies to the DELETE and RELEASE functions.