DLP Policy tips not showing in OWA

I am trying to set up DLP policy tips within compliance center for O365. So far, the DLP policy I set up for U.S. Financial Data was tested and works fine in the Outlook Client and the policy tip shows up. When I try to test it out in the Outlook on the Web, no policy/mail tips show up.

Does anyone know why the policy is working in the client but not on OWA?