I've been doing some testing on our ePO and i noticed that there is not DLP events logged when I send a test email that contains PII data in JPG or PNG form.
However, the DLP can capture the event if the file that has PII was sent through PDF, word, etc.
In JPG or PNG formats, the text is stored as an image. In a PDF or Office file, the text is stored as text. To read an image, DLP would need to incorporate optical character recognition functionality, which is significantly more resource intensive than the normal DLP product is, and not entirely accurate.