How to create an action group in each subscription?

Seems you are in the right track:

{
  "properties": {
    "displayName": "Deploy Action Group for each subscription",
    "mode": "Indexed",
    "description": "Ensures an Action Group exists in every subscription.",
    "metadata": {
      "category": "Monitor"
    },
    "policyRule": {
      "if": {
        "field": "type",
        "equals": "Microsoft.Insights/actionGroups"
      },
      "then": {
        "effect": "DeployIfNotExists",
        "details": {
          "type": "Microsoft.Insights/actionGroups",
          "existenceCondition": {
            "field": "name",
            "equals": "Default-Advisor-AG"
          },
          "deployment": {
            "properties": {
              "mode": "incremental",
              "template": {
                "$schema": "https://schema.management.azure.com/schemas/2019-04-01/deploymentTemplate.json",
                "contentVersion": "1.0.0.0",
                "resources": [
                  {
                    "type": "Microsoft.Insights/actionGroups",
                    "apiVersion": "2022-06-01",
                    "name": "Default-Advisor-AG",
                    "location": "global",
                    "properties": {
                      "groupShortName": "AdvisorAG",
                      "enabled": true,
                      "emailReceivers": [
                        {
                          "name": "SubscriptionOwner",
                          "emailAddress": "[parameters('ownerEmail')]"
                        }
                      ]
                    }
                  }
                ]
              }
            }
          }
        }
      }
    }
  }
}