Well, it seems like I have already tried to investigate the same question and forgot about it. It was from the opposite view point, i.e. I was testing the “adding film grain” solution in DT and check it out: https://discuss.pixls.us/t/lets-improve-grain/2709/46?u=aadm, the realistic way to simulate grain is to make it less evident in darker areas (check the discussion before the linked post for all the details).
So a conclusion that could be drawn is that when denoising a photo like this one, one should indeed remove “more” noise in the darker areas.