Ok, so I can specify a list of possible classifications. But is it possible to link different classification with different policies? As an example, if I have a classification called "Highly Classified" it would be nice to disable guest users in such a team.
Yes, you can specify a list of possible classifications but for now it's not possible to link with different policies. This is something that is coming at leas for modern SPO sites as announced at Ignite so you will be able to classify a site in terms of sensitive classification defined