You can create some constant variable and name it "lag0". Naturally, as it is collinear with the fixed effects, it will be omitted. However, as far as the graph is concerned, it will get you exactly what you want. I illustrate this here.
Code:
webuse grunfeld, clear gen lag0=0 reghdfe invest L(1/10).mvalue lag0 F(0/1).mvalue, absorb(company year) local xlab xlab(1 "Jan" 2 "Feb" 3 "Mar" 4 "Apr" 5 "May" 6 "June" 7 "July" 8 "Aug" 9 "Sep" 10 "Oct" 11 "Nov" 12 "Dec" 13 "Jan") coefplot, keep(L*.mvalue lag0 mvalue F*.mvalue) omitted baselevels vert `xlab'
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