You are not doing anything wrong. This is a limitation of the plugin.
I’ve already explained this here:
English version: There is a workaround to accomplish that with the enterprise editions of checkmk: instead of using the host filter, you can use the regex filter and enter the following variable: ${variable_name:regex} this will combine multiple host names into one valid regex expression matching all the hostnames selected in the variable menu.
See also: Variable syntax | Grafana documentation
We keep track of the feature request in our GitHub repo: Issues · Checkmk/grafana-checkmk-datasource · GitHub feel free to open an issue there and describe your use-case.