I created an App Insights in Central US region using this script:
New-AzureRmResource -ResourceName $appInsightsName -ResourceGroupName $defaultRgName -Tag @{ Na
It looks like alert rules can be created only in East US. The same in Azure Portal - you cannot select location, but all rules are created in East US.
Try to use East US location in Powershell command:
$appInsights = Get-AzureRmResource -ResourceName $appInsightsName -ResourceGroupName $defaultRgName -ResourceType "Microsoft.Insights/Components" -Verbose
Add-AlertRule -Name "Exception Occured" -Description "Exception occured alert" -ResourceGroup $defaultRgName -ResourceId $appInsights.ResourceId -MetricName "Server Exceptions" -Operator GreaterThanOrEqual -Threshold 1 -WindowSize 00:05:00 -CustomEmails "some@email.addresss" -Location "East US" -RuleType Metric -Verbose