There is a condition type for "Message Attachment or File Name Match". This has always worked as advertised as far as I'm aware, but you might have it misconfigued. If that's the condition type you used for your exception, did you select the "Entire Message", or "Matched Components Only" option. This would come into play if you have a compound exception, and if it's NOT a compound exception, you should have "Entire Message" selected. "Matched Components Only" in this context does not do what you might think...it's only applicable to the exception itself, not the component that's being matched by the rule in your policy.
The pattern you use for the file name in this condition type can follow the DOS convention with wildcards, etc, and can be a list of file names/patterns.
Also, please realize that an exception of this type is risky. If you tell the system to except a message where the file name is myspreadsheet.xlsx, then it's going to except it whether that's the only attachment, or one of many attachments. So I could then send out an email that goes undetected by DLP if it has the attachments myspreadsheet.xlsx and sensitive-customer-data.docx (where the Word document does indeed contain the sensitive data you are looking for).
In general, I would not advise using this kind of exception in tuning for false positives, as it is not good practice.
~Keith