Hi Mika,
I wanted to clarify, how are you creating the strategy, are you doing copy as functionality from an existing strategy ?
Below is the screenshot it shows, if i create it newly. It should be possible to create it.
Also in case if your SAP version is beyond below note version, then this error message is valid, there is no bug, it's kind of user issue.
866435 - IP11: Key date strategy - cycle is a month shorter
Regards
Terence