How do you apply date grouping by month with MDA objects?

I regularly report certain stats to our exec team using the Group By option combined with a Date field. I typically configure the date field to be Month, Quarter, or Year. This is super convenient and makes life easy!

However, I am having trouble recreating that when reporting on the AO Participants object. I think this has to do with it being MDA rather than SFDC data.

Why does that matter?
Is there another way to provide a date grouping in that manner for MDA objects like AO Participants?

Here is a screenshot of what I am facing. Obviously, I'd rather the dates be grouped by month.