Why are completed child backlog items shown in epics when selecting "Items not yet completed"?

This can be a bit confusing, but a child backlog item inside an epic is always shown, regardless of its status, when selecting "Items not yet completed", until the entire epic is completed. This is so that you can get an overview of the entire contents of the epic, including what has already been completed in the epic.

To leave out the completed child backlog items, you can select "Filtered items" instead, and create a filter with a Status criterion that shows the statuses that you want to see. For example, select all statuses up to, and including, status "Done". Click "Hide other items" to hide the backlog items that don't match, instead of just graying them. You can save this filter with a suitable name, so that it's always available in that project.