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There is a good breakdown of what is support and not. It is possible that some of the Sensitive information types are not supported or the client is not at a supported version - Data Loss Prevention policy tips reference | Microsoft Learn
Thanks for sharing the link Patrick! nseyhanli also mentioned during the call was that it can also depend if the situation is for a SharePoint/OneDrive document that's opened on Desktop versus other desktop location. Assuming it's on ODSP, Patrick's link provides a list of supported conditions that can affect whether it will trigger or not. Licensing can be a factor as some of these are E5 only and the user must be assigned the license. If everything is supported but you are experiencing issues, contact support to investigate if there could be some environmental configuration issues preventing the policy nudge files to be updated on the client workstations.