After some heavy digging I just found that by default no Maildir directory is created and e-mails are only archived through Hyperkitty instead.
To enable the Maildir format (per mailinglist) the following option needs to be added in the mailman-extra.cfg:
[archiver.prototype]
enable: yes
After enabling that option and restarting mailman (+mailcow) the prototype option can be enabled per mailing list (Manage this list -> Settings -> Archiving -> Active archivers).
Downloading an mbox file through Hyperkitty is also possible by using the /export/ url for a mailing list, e.g.: