1st. Did you configured the evidence folder with special permissions ? if not then in IG of HDLP follow the steps.
2nd. Did you enable evice check box in protection rules ?
If above are Fine and still events not opening, then check the 3rd suggesiton. Try it in some test lab. (I tried it and its work for me).
3rd. Open ePO Database base in SQL Server. Goto Tables . Search DLP password table. View table records.
(if two rows are added then it will give you error wehn you try to open evidence from dlp monitor.
Copy these two entries table rows and save in some txt file
After copying delete these two entries--> close the table.
Now open hdlp policy click on Tools menu--> option--> security ( enter new password) Click OK. Apply settings.
Now open again this table and you will see only one entry in table.
Now generate again the event, ---> send to ePO and check if evidence open or not.