Exclude domains from a restricted DLP

Our DLP is in block all mode with the exception of users who have special privileges, have the ability to send sensitive data as needed. However, we would like to create a domain safe list that is excluded from these block rules so that all users can send sensitive data to those domains. What would be the best way to do this? Would we need to list out each domain in each different policy? Should I create a top policy priority 0 that lists these special domains as non-restricted so that it bypasses the block rules? 
Purview DLP does not seem to have the ability to create a group of domains that we can apply to policies, like other DLP products do. 

Any advice is appreciated, Thank you.