Microsoft has posted on this topic on blogs.office.com, so here's my independent take on what unified DLP means for Office 365...
You might be familiar with the DLP policies available in Exchange or SharePoint. These policies work, but they are workload-specific. Microsoft has embarked on a journey to replace them with Unified DLP policies, which provide protection across multiple Office 365 workloads. The new policies are not yet as functional as those available for Exchange, but they will get there. https://www.petri.com/unifying-data-loss-prevention-across-office-365
