You want to have the Email Prevent between the Exchange Server and MS Edge Server in the outbound email flow. This is so if you need to quarantine, encrypt or do other functions where DLP will add a SMTP header for MS Edge to action prior to leaving your network.
Make sure the Load Balancer VIP isn't doing source NATing (replacing the Source IP with it's own), or if it is ensure you're adding the NAT'd IP to the accepted hosts on the DLP Email Prevents/MS Edge.
Exchange > Load Balancer VIP > DLP Email Prevent > MS Edge > Cloud spam
Email Prevent servers can forward to the MS Edge in their own leg/dc with the other as secondary. The main objective with the load balancer is to enable DLP to be bypassed entirely if it's unavailable (fail-open).