This is a change that was made to EPO 4.5 (afaik) and solves a lot of previous issues with time confusion and unclear stamps. The GUI adapts the time to your browser settings on the fly (you can see the adjustment at the very top of the GUI). However, the EPO saves/tracks/processes everything in UTC to avoid any kind of confusion so naturally everything within the database is in UTC. The GUI should convert the time of any and all adjustments you make (policies, tasks, rules) to UTC but there are some exceptions like compliance events and yes indeed, mail alerts.
I'm afraid there is nothing you can do. We have the same problem in our company and just have to adjust the time in our heads if we view reports/alerts/exports.