In the Dune series, have humans colonized planets in galaxies other than the Milky Way?
It's not known.
Before the Scattering, which took place after the events of God Emperor of Dune, humanity was confined to a relatively small area of space, which is probably within the same galaxy.
However, after that all bets are off. Simply, no one knows how far humanity has spread. The combination of no-ships and Atreides genes, which make the bearers invisible to prescience, mean that it is impossible to know.
Darwi Odrade reflects as much during either Heretics or Chapter House; in fact, she thinks, no one knows how folding space works, or even whether the destinations are just bubbles in completely different universes.