To prevent users from uploading files with a specific sensitivity label (like Label1) to third-party external websites while allowing uploads to Microsoft OneDrive for Business, you would apply the Microsoft Purview Data Loss Prevention (DLP) policy to Devices. Applying the DLP policy to Devices allows control over what users do with files on their endpoints, enabling you to prevent data from being shared to untrusted locations while allowing uploads to trusted services such as OneDrive for Business.