Hi @Sergio Londono ,
Sorry, I am a SharePoint engineer and I don't know much about DLP. You can study it further. I also suggest you add Purview tags to make it easier for Purview engineers to see.
From the SharePoint perspective, there is no good way at present. You can use block the OneDrive Sync using the sync option with on-prem GUID to random value and Defender for Cloud apps in combination.
For your references:
https://learn.microsoft.com/en-us/sharepoint/block-file-types#block-syncing-of-specific-file-types
https://learn.microsoft.com/en-us/microsoftteams/block-access-sharepoint
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