Any way to bump up this question? This is exactly what I need answered/configured for my DLP implementation.
There aren't any preconfigured queries. You'll need to create your own.
Queries and reports> New> Other (In Feature Group> DLP Events. Create a table listing the info you need. The customization is pretty intuitive.
For this data to be available, you'll need to create a protection rule for Removable storage (not a device rule).