In combination with permissionserrorstext-withaction, this message creates a sentence with incorrect syntax: "You do not have permission to exempt from global blocks, for the following reason:"
One way of fixing this would be to change this message to "be exempt from global blocks".
@Shirayuki seems to have addressed this in b8634f6106b3b10aec468e43630d9dfb0b571f87 back in early May. That said, it was not nor is not an issue since in practise the regexblock-exempt user right is used "internally" by the codebase to see "should we even try to see if this user can be blocked?" (includes/RegexBlockHooks.php, function onGetUserBlock). If the user has the right, they're exempt from RegexBlocks, and no error message will be shown; if the user does not have the right, the processing continues normally and if they're not blocked, no error message will be shown as they can then edit the site normally; if they're regexblocked, a regular-ish block message, similar to the one you'd get if you were blocked via Special:Block, is shown.
The only reason why there are corresponding action- and right- messages is that there's some Continuous Integration (CI) test that expects there to be both messages for a given user right and it'll loudly complain and -1 the patch if that's not the case. I've (unsuccessfully) tried to argue against this because it's silly, misleading and just wasteful to have these messages which'll never be shown anywhere to anyone.