there are some things which are pretty hard if not impossible to be done with set analysis, you just ecountered one of those. Since the set analysis expression seems to be evaluated once for the whole chart, a comparison with the current dimension value within that expression will not work.
To achieve somekind of comparison on dimension level, you could use an if() statement instead, maybe like
= avg( if(MonthObjective = MonthActivity, QttyActivitiesObjective))
Hope this helps,