DLP - Data Loss Prevention policy for attachments on emails (.msg) saved in OneDrive for Business

Let's say an end user receives an outlook email that included a pdf file which also included sensitive info like a ssn or bank account number etc.
Then that end user drags/drops the email w/ attachment into OneDrive for biz
I know that we can set up a DLP on a specific end user's OneDrive for Business info
Can anyone let me know for sure if the DLP will actually flag info saved in a pdf attachment which is embedded in the .msg file which also lives in OneDrive for Business????

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