Ok, there are generally multiple reasons you dont see those:
I have noticed as well that the overrides never show up consistently in outlook - just OWA as you have seen
https://learn.microsoft.com/en-us/microsoft-365/troubleshoot/data-loss-prevention/data-loss-prevention-policy-tips
https://learn.microsoft.com/en-us/outlook/troubleshoot/security/can't-display-dlp-policytip
and
These articles cover just about everything
I have found that some tips just never show up and there is no way around it :(
Bottom Line, make sure you are running the latest Outlook updates and if the troubleshooting doesnt work, it could be the tip will not show up ever and you may need to open a ticket with Microsoft to complain :)