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This query works:
SELECT CONVERT_TIMEZONE('America/New_York', sae.event_time) AS local_time, sae.*
FROM stl_alert_event_log sae
WHERE
(sae.event_time > CONVERT_TIMEZONE('America/New_York', 'UTC', (SELECT DATEADD(hrs, 9, TRUNC(GETDATE()))))
AND sae.event_time < CONVERT_TIMEZONE('America/New_York', 'UTC', (DATEADD(hrs, 18, TRUNC(GETDATE())))))

This return an error:
SELECT CONVERT_TIMEZONE('America/New_York', sae.event_time) AS local_time, sae.*
FROM stl_alert_event_log sae
WHERE
(sae.event_time > CONVERT_TIMEZONE('America/New_York', 'UTC', (SELECT DATEADD(hrs, 9, TRUNC(GETDATE()))))
AND sae.event_time < CONVERT_TIMEZONE('America/New_York', 'UTC', (DATEADD(hrs, 18, TRUNC(GETDATE())))))
ORDER BY sae.event_time

The error is returned by the Redshift server itself.

You could try performing this in some other tool to see if there is any difference.

Only your tool have this problem.
I tested it with:
Aginity Workbench for Redshift and HeidiSQL

You can test it with command line tool psql.exe:
C:\PostgreSQL\bin>set PGCLIENTENCODING=UTF8

C:\PostgreSQL\bin>set PGPASSWORD=xyz

C:\PostgreSQL\bin>psql.exe -f C:\\PostgreSQL\\bin\\query.sql "host=redmocs.xyz.us-east-1.redshift.amazonaws.com user=xyz dbname=xyz port=5439 "
local_time | user_name | query_text | event | solution | query_millisec
------------+-----------+------------+-------+----------+----------------
(0 rows)

Thank you for bringing this to our attention.

We will investigate this issue and will answer you as soon as possible.