Hello @jpcapone !
This is an action with planning and trial and error
For your reference i suggest have a good look here :
https://practical365.com/custom-sensitive-information-types/
Work with Custom Sensitie Info types and when you are ready to Test give some time to the engine to make the config
What i suggest is to create the Policy from Exchange Online :
I hope this helps!
Kindly mark the answer as Accepted and Upvote in case it helped!
Regards