The specified Exchange Rate is correctly used when posting the journal. The issue is caused by SAP as it does not define the correct exchange rate in the header when creating the journal.
The FB01 transaction has an option to force the header set to be taken from the first item.
No workaround is available.
RunMyFinance version 9.2.9.X/9.2.11.X, 2023.2.0.0
Will be implemented in future versions