You've got the option to configure a condition and apply a label as a recommended action for end-users or with the DLP Policy Tip in Office 365, you can inform senders that they may be about to pass along sensitive information that is detected by the policies before they click Send.
In both options, The Policy Tip will prompt for the user.
Mail tips however are only shown on the desktop Outlook client and OWA, so they might not be the best fit. DLP policy tips only work with sensitive data, so also not the best solution. Lastly, you can configure transport rules to detect such messages, but they cannot trigger in-client notifications (only for DLP sensitive content).