The exact same command work in 1.21.4 but doesn't work at 1.21.5+ until now

From the 1.21.5 changelog:
enchantments and stored_enchantments Item Components

• Removed show_in_tooltip field, replaced by tooltip_display component

• These components now always use their simplified form, with the levels field inlined to top-level

  • e.g. enchantments={levels:{sharpness:2}} -> enchantments={sharpness:2}

The correct command would be:

/item replace entity @a hotbar.0 with minecraft:mace[minecraft:enchantments={"minecraft:wind_burst":3}]

The owner of this ticket you have the email at your name

Can you try the command that I posted and see if it works?