Microsoft 365 Apps for BUSINESS (desktop clients) do not support Group Policies save for 5 measly privacy settings.
https://learn.microsoft.com/en-us/office365/servicedescriptions/office-applications-service-description/office-applications-service-description#:~:text=Group%20Policy%20support6
You would have to move to Microsoft 365 Apps for ENTERPRISE or E3/E5.