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As long as you are authenticated using your Entra ID, CDP should be in place... https://learn.microsoft.com/en-us/copilot/privacy-and-protections
The challenge is when you're not authenticated. On a corporate device, if you're not logged in, you end up hitting the version without CDP in place, and the only counter measures that Microsoft has offered require you to be on the corporate network. If you're working from home, these DNS entries would not work.