Okay, my bad, I was looking at this page [1] which says that the "Cost Management" feature is available for Pay-as-you-go subscriptions, but [2] is pretty clear on the fact that Spending Limits aren't available for Pay-as-you-go subscriptions.

So, TL;DR: Azure still doesn't allow you to set spending limits on Pay-as-you-go subscriptions

[1]: https://learn.microsoft.com/en-us/azure/cost-management-bill...

[2]: https://azure.microsoft.com/en-gb/support/legal/offer-detail...