hello,
Which DLP version are you using ?
it seems that you have to be at least in v14.5 as it is announce as a new feature of this version (at least a supported features).
Extract of "Symantec_DLP_14.5_Whats_New.pdf"
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Monitoring filters for copy to network shares and for local drives
Support for filtering by file type, size, and path. This feature provides coverage for the following scenarios:
■ File copies from Mac and Windows endpoints to network shares
■ File copies from network shares to local drives on Windows endpoints using Explorer
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regards