The times are definitely stored in UTC. The right click method is clearly adjusting based on time zone, but I can't see any way to get the current time zone information from Analysis Services.
The solution might be to get the time zone offset from sql and adjust the time from SSAS. How do you need to present the information? If it is a report then you could query the last update date and query the time zone offset from sql server and create an expression field to show the converted time.
An alternative might be to query the tabular model from SQL through a linked server and then make use of SQL Server time zone functions to adjust the time. I don't have access to a Tabular linked server, only MDIM and the same syntax didn't work (or I did something else wrong).
I know it is possible to use PowerShell to return attributes from cubes. We use PS to return the current list of partitions so we know whether to create a new one or not, so I imagine the last update date could be retrieved and inserted into a table. This sounds like overkill and might be a steep learning curve (assuming it's not blocked as a security risk anyway).
I think the solution depends on how you need to report the information and what version of SQL Server you are using. I tried using CURRENT_TIMEZONE (), but I'm on SQL 2017 so computer said no.