@Hoang Nguyen Azure Policy evaluates the ARM property of the resource. So if the RP(Resource Provider) doesn't properly provide the ARM property, Policy can't evaluate it. The alias "Microsoft.Compute/virtualMachineScaleSets/virtualMachines/storageProfile.osDisk.encryptionSettings.enabled" which you are using only checks if the OS Disks are encrypted or not.
And to check Data Disk encryption settings, currently, there is no available ARM property for it. For reference, check this ARM template document. To request an alias for Data Disk encryption settings , we need to enable the ARM property for it. I would recommend you to navigate here and share your feedback or suggestions directly with the responsible Azure feature team and clicking the vote button of your suggestion to raise visibility and priority on it.