Test if key is in user_meta array

First of all, I believe your syntax is incorrect. Should be:

$group = '_mm_group_membership'; // key should be a string

Secondly, did you try using $u->get? Here’s what the doc says:

If fields is set to all_with_meta, it will return an array of WP_User objects.

So yes, if you specified this parameter you should get a bunch of WP_User objects back. And yes, there should be a getter in the WP_User object, but you’d need to feed it that same $group variable to get the value for your key.

if($u->has_prop( $group )) {
    $meta_val = $u->get( $group );
}

Then you work with your value, which, as you mentioned, should be an array (of groups the user is in?). You might need to unserialize it, since WordPress tends to keep things as strings in the database.