Expanding navigation properties on user entities is currently not working on the production (v1.0) version of the Microsoft Graph endpoint. The functionality is live on the beta endpoint.
This query works as you desire:
https://graph.microsoft.com/beta/users?$expand=memberOf
There is no timeline on when features move from beta to v1.0 or whether they even will in the current form.
Currently, you have 3 choices using the Microsoft Graph APIs.
Beta endpoint
Use the beta endpoint but understand that it may change in functionality.
Multiple Graph Calls
Fetch the users collection then fetch the memberOf for each user as you need it.
https://graph.microsoft.com/v1.0/users/{id}/memberOf
or
https://graph.microsoft.com/v1.0/users/{user_id}/getMemberObjects
Expand members on Groups
If you want to stick with the v1.0 endpoint and depending on your overall goal, you can attempt to go about finding the information you want the other way. Get the collection of groups and expand the members navigation property instead.
https://graph.microsoft.com/v1.0/groups/?$expand=members
