Joe,
Currently there isn't an option to do this with the regular DLP interface. I agree this would likely help in the tuning process of policies to more accurately identify sensitive information. The question I'd ask you though, is would it matter if the false positive were marked as fixed?
I would suggest perhaps working with 2 categories of false positive status (similar to Jsneed approach). 1 is for False Positive - Needs fix, 1 is for False Positives. In the end, it wouldn't really matter if it is a false positive why it's false positive. The onyl time it would matter in my mind, is when you need to make adjustments to search for those incidents, hence the other group. Once you adjust the policy accordingly, you can then move it off to the False Positives status. Make sense?
I would suggest adding this to the ideas section of the forums, as I agree it would help in easing the tuning process. We've had the request before, but I don't think it's been voted for enough by customers. Unfortuantely the iterative process you first described is really the only way to work through them for right now.