The Events web part, regardless of the site it's used in, doesn't handle recurrence in either its UI (as you showed in your screenshot) or its end-user display.
I don't think Microsoft believes this is a bug, rather it is the functionality that just isn't supported yet. What Events doesn't really tell you is it's using a SharePoint calendar to store events (go look around your site for a "Events" calendar and you'll find the events are the same).
While the Calendar does support recurrence in its a "Classic" experience but not with the Modern experience.
I suspect that when Microsoft gets around to Modern-izing the Calendar app, it will sort out the lack of support for Recurrence in Events web part.