For this You must activate the Rights Management service (RMS) before you can use the Information Rights Management (IRM) features of Microsoft 365 applications and services. After you activate RMS, your organization can start to protect important documents and emails by using Azure RMS. This information protection solution can protect all file types and integrates with client applications like Excel, Microsoft Word, and others, Exchange Online and SharePoint Online, and servers such as Microsoft Exchange and Microsoft SharePoint.
After Following the Solution Just Hit Refresh and you will be able To Change the Rule
Here is the Solution
Activate protection via PowerShell
You must use PowerShell to activate the Rights Management protection service (Azure RMS). You can no longer activate or deactivate this service from the Azure portal.
Install the AIPService module, to configure and manage the protection service. For instructions, see Installing the AIPService PowerShell module.
From a PowerShell session, run Connect-AipService, and when prompted, provide the Global Administrator account details for your Azure Information Protection tenant.
Run Get-AipService to confirm whether the protection service is activated. A status of Enabled confirms activation; Disabled indicates that the service is deactivated.
To activate the service, run Enable-AipService.