You can find all the licensing requirements here: https://learn.microsoft.com/en-us/office365/servicedescriptions/microsoft-365-service-descriptions/microsoft-365-tenantlevel-services-licensing-guidance/microsoft-365-security-compliance-licensing-guidance#which-licenses-provide-the-rights-for-a-user-to-benefit-from-the-service-14
You can create DLP policies in Microsoft's Purview Center: https://compliance.microsoft.com/homepage
From here, select the drop down option on Data Loss Prevention on the left navigation menu, and then select Policies.
While creating a policy, you can select which locations you want the policy to apply to.
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