To add apps as an exception to the "Do Not Disturb" mode, this has to be done directly in the notification settings of the app, where you can find the option "Do Not Disturb" ignored, which makes the app work without any restrictions by the mode, so apps like WhatsApp, Facebook, Messenger or others can send notifications, calls or messages as usual.

Android 10 (One UI 2.0)
Step 1:  Open the  Settings
Step 2:  Tap on  Apps
Step 3:  Tap on desired  App
Step 4:  Tap on  Notifications
Step 5:  Tap on a  Notification Group
Step 6:  Enable or disable  Ignore Do not disturb
  1. Open the Settings
  2. Tap on Apps
  3. Tap on desired App
  4. Tap on Notifications
  5. Tap on a Notification Group
  6. Enable or disable Ignore Do not disturb

Samsung Instructions
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