I had tried that (thinking the platform was too low for the Lemmings to reach the exit) but sadly it did not work.
However, that mention made me realize I did not try the opposite - digging in case the exit trigger was set too low. And in fact it is - after digging one pixel under the exit, the Lemmings were able to go through. So the exit just need to be set one pixel higher

I attached the modified, now successful run.

Thank you very much for the advice in any case!

It seems the exit in the Frost 07 level of the Holiday Lemmings 1994 pack ("Happy New Year!") does not work.
At first I thought it was a fake exit and the real one was hidden somewhere, but from digging around and looking at guides it doesn't seem to be the case. The one visible on the map should work - but Lemmings just walk past it.

I attached a screenshot showing the Lemmings walking past, and a replay of that particular run.

Am I missing something or is it a bug in the map?