Steps to reproduce:

All done like in https://www.zabbix.com/documentation/4.2/manual/discovery/low_level_discovery/prometheus

Result:
See error.png

Invalid key "{#METRIC}" for item prototype "Alerts by State {#STATE}" on "alertmanager": incorrect syntax near "{#METRIC}".

Expected:

If i change the key to say whatever{#METRIC} it works but then it's not realy the idea behind that or at least the documentation is wrong.