Hello,
if it is for network DLP probes you can use a L7 filter on sender (this will prveent DLP to capture message sent by this user)
if it is for endpoint, you can use a specific agent configuration for this user or inactive endpoint on his workstation.
If you manage a list of people in your policy (in Groups tabs) you can:
- remove it from your DGM (as thomas said) if you use a DGM
- remove it from AD group which is used to manage people covered by your policies
regards