Just an idea: Use a combination of the property URL.Categories together with your DLP rules. I.e. only block sites due to DLP if URL.Categories does not contain the category "News".
Also, if you are using DLP scanning for inbound content, expect a performance impact on the proxy. I would use it very sparingly on some subselection of sites, like uncategorized sites or Blogs/Wikis that have user content.
I don't recommend using it on all inbound responses.