The DLP agent is not used to scan Shares on the network. It is designed to scan the local drives on the machine it is installed on.
If you want to scan network shares, then it is best to use the Network Discover scanning. If you want to scan the local drives, then use the endpoint agent. You can alos install the agent on a server and then scan all of the local drives, but make sure to filter out the directories that do not matter. (windows directory etc) This is why the Network Scanner might be better, it is a more targeted approach than the whole file system.