I just checked and it does mark and compute the exemption automatically.  You need to double check that:

1. The names and IDs of each individual entered on Credits > Premium Tax Credit (1095-A, 8962) > CA Premium Assistance Subsidy/Penalty under Minimum Essential Coverage Not Indicated Elsewhere for Covered Individuals are consistent with those entered under General > Client Information and Dependents; and
2. The months in that same section during which each individual is covered must have 1 entered but with no more than 3 consecutive months left blank with no coverage.

When in doubt, check your informational and critical diagnostics.