No they don't integrate, you do not work w/ Symantec DLP and Microsoft DLP at all. Cloud Prevent for Office 365 allows you to put Symantec DLP in the mail flow of your Office 365 environment.
Mail would flow Office 365 -> Cloud PRevent for DLP -> Internet
THen incidnets generated by Cloud Prevent for Office 365 will flow into your on premise Enforce system. By leveraging Symantec DLP in the cloud you can leverage all your existing policies (EDM, DCM, IDM, VML) and your existing DLP workfow withouth having to create something new.
Microsoft's DLP product would exist within the Office 365 admin console and not integrate. A Symantec DLP policy would have to be created within Office 365 itself and no import/export.