@jce Thank you for reaching out to us, wanted to check if you have got a chance to review the below docs:
https://learn.microsoft.com/en-us/defender-cloud-apps/proxy-deployment-aad
https://learn.microsoft.com/en-us/defender-cloud-apps/session-policy-aad
Reference video: https://www.youtube.com/watch?v=RhxXPb1sBOc
Also, make sure pre-requisites are in place as mentioned in the docs.