That´s a great question. Webhooks can be one of the ways data will go outside of the organization. DLP is an idea, also Defender for Cloud Apps and Microsoft Sentinel, I try find a way between the communication. 

More over I can recommend this: 
Microsoft Graph API for Teams DLP

Data loss prevention (DLP) capabilities are widely used in Microsoft Teams particularly as organizations have shifted to remote work. Earlier this year we announced the public preview of the Microsoft Graph Change Notification API for messages in Teams. This API enables developers to build apps that can listen to Microsoft Teams messages in near-real time and then implement DLP scenarios for both customers and partners. Additionally, Microsoft Graph Patch API lets you apply DLP actions to Teams messages.

These two APIs form the Microsoft Graph API for Teams DLP. You can get started by trying out the sample app. For more information about Microsoft Teams messaging webhooks, see the documentation.

For the licensing requirements for Teams DLP, see Microsoft 365 licensing guidance for security & compliance.
https://docs.microsoft.com/en-us/microsoft-365/compliance/compliance-extensibility?view=o365-worldwide

Please use also the Feedback Portal aka.ms/TeamsFeedback .