We investigated further and focused on the browser from which I tried to access the DLP console, since it was the only thing similar between those two test environments I had.
We found that using a non-corporate machine with a wide-open browser, I could access DLP.
Somehow, the DLP console does not behave in the same way under ePO 4.0 and 4.5, because it did work with our corporate machines and custom IE8.
I hope I have time to find the exact security option in IE8 for you all to know. I'll post it when I find it.
In the meantime, the problem is solved by just unsecuring IE8...
Confirm you have configured the following (taken from the installation guide, page 25):
The DLP Management Tools installer and policy manager initialization wizard use ActiveX
technology. To prevent the installer from being blocked, verify that the following are enabled
in Internet Explorer Tools | Internet Options | Security | Custom level:
• Automatic prompting for ActiveX controls
• Download signed ActiveX controls