@Celeste Thanks for posting in our Q&A.
Currently, we can check "sign-in logs" under Users in intune portal, it will show which app or website the user signed in to.
https://learn.microsoft.com/en-us/azure/active-directory/reports-monitoring/concept-sign-ins
However, it will not track what website users copy corporate data to. If you are interested in this feature, it is suggested to post in intune feedback portal. It is a place to collect customers' requirements and problems. Here is the link:
https://feedbackportal.microsoft.com/feedback/forum/ef1d6d38-fd1b-ec11-b6e7-0022481f8472
Thanks for your understanding.
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