Dear Ichida,
sorry, you are right, the number of failed attempts is not part of the security policy password settings, and, at least for normal system logons, obviously cannot be set individually (I think locked with the 6th wrong attempt).
(btw For Mobile app logon (I understand this is not what your question was about) there is a setting for max attempts, that you see in the Security Policy once you check the "App Password Enabled" checkbox, however here it has a different flavour as that is about the deletion of local mobile app data.)
Regards
Michael