MCAS and guest users in session policy

Hello all,

I was wondering if it is possible to proxy guest users(add them in dynamic group) with CA and use session policy to label documents on download?

In the official documentation it doesn't say that it is impossible, but it doesn't say it is possible neither. - https://docs.microsoft.com/en-us/defender-cloud-apps/proxy-intro-aad From my tests it doesn't work, which to me makes no sense since this seems like a straightforward functionality and it works with normal member users.

I would really like to hear your thoughts and suggestions.