Shank
Under no circumstances would the citizens have abandoned Moscow, except they have under Kutuzov's direct orders.
We can use both 'except' and 'except for' as prepositions. We can use 'except' as both a conjunction and a preposition.
'Except for' is an idiom. We cannot use it as a conjunction.
However, I have not seen 'except under' as a formal expression. It could be a spoken phrase.
Based on the above, we could explore the choices now.
(A) except they have under -Normally 'except. When used as conjunction followed by the word 'that' as a connector. Except that. -- But it is not a big issue. The problem in this choice is the present perfect 'have', used to describe a past event.
(B) excepting it under -- 'It' has no referent and excepting under is suspect.
(C) except for -This could be ok considering that what follows is a noun phrase.
(D) except under --Unidiomatic
(E) except -- This is also ok.
Perhaps, the author may have special reasons for dropping C.
You stated that "except for" is not a conjunction, and here the "except" is obviously operating as a conjunction, hence why except alone is enough and operates as a conjunction. We could even interchange the "except" with "but" as a conjunction here to see how it operates, since in certain cases these are interchangeable (to get to meaning/logic of the sentence)