Cannot set calendar alerts for all-day events in Exchange calendars, using Mac (or iPhone) Calendar App

I'm not able to set an alert for all-day events in Calendar App, when using an MS Exchange calendar. If I try on iCloud calendar it works.

If I set the alert through MacOS Calendar App (or iPhone), the alert is not saved.

If I set the alert through MS Outlook or MS Teams, this alert does not show in Mac Calendar App.