Explanation:

In Microsoft Teams:
Files shared in 1:1 or group chats
These files are stored in the sender's OneDrive for Business.
So, to protect them with DLP and prevent guest access, the relevant location is OneDrive accounts.
Files shared in Teams channels
These files are stored in the underlying SharePoint Online site associated with that Team.
So, to protect them with DLP and prevent guest access, the relevant location is SharePoint sites.
Incorrect options:
Exchange email: Protects email messages, not Teams-shared files.
Teams chat and channel messages: Protects text messages, not the attached or shared files.
Reference:
Microsoft Learn: Learn about DLP in Microsoft Teams
Quote: "When a user shares a file in a Teams channel, the file is stored in SharePoint. When a user shares a file in a Teams chat, the file is stored in OneDrive."