Sounds like something that the DLP Diagnostic Tool should help resolve (assuming DLPe 9.2)
Download it from the knowledgebase: https://kc.mcafee.com/corporate/index?page=content&id=KB75040
Once installed and you have entered the override code use the tool to examine the CD/DVD and see if the rule applies to it.
McAfee DLP TierIII
This scenario is covered in the following article.
You can either block CD/DVD with a device rule set to read only or monitor what is being written with an application based protection rule.
I'm not sure why it isn't working for you. Here is a copy from the article itself:
Corporate KnowledgeBase ID: KB53598 Last Modified: January 26, 2012
EnvironmentMcAfee Host Data Loss Prevention 9.2McAfee Host Data Loss Prevention 9.1
McAfee Host Data Loss Prevention 9.0
McAfee Host Data Loss Prevention 3.0
SummaryMcAfee recommends that you create a device rule and make the CD/DVD drives read-only.
It is not possible to block data using a reaction rule that is triggered from burning software such as:
Windows built-in burning functionality
The reason for this relates to how the CD/DVD burning software builds the data to be written and the way in which those applications choose to organize the data before burning. These factors make Host Data Loss Prevention (Host DLP) unable to block that data using an application reaction rule.
Host DLP does provide tagging and monitoring via a burner application reaction rule, just not blocking functionality. This feature has limited functionality, but does exist in Roxio versions 6-8. This feature does not work with Windows 2000.