To create a Data Loss Prevention (DLP) policy in Microsoft Defender for Cloud Apps, go to the Microsoft Defender Portal, navigate to Cloud Apps > Policies > Policy management, and create a new File policy. Define the conditions by selecting a file filter and configuring the Data Classification Service for content inspection, then choose an Action for violations, such as creating an alert, and optionally, implementing a governance action like moving the file to quarantine. You can optionally set a policy severity, link it to risk types, and use sensitivity labels to ensure accurate file filtering.
Reference:
https://learn.microsoft.com/en-us/training/modules/create-configure-data-loss-prevention- policies/3-integrate-data-loss-prevention-with-microsoft-cloud-app-security