A little additonal troubleshooting info:
Also, you need to check C:ProgramDataMcAfeeCommon Framework\AgentEvents to see if DLP is generating .xml files there.
These can be opened with the DLPE Diagnostic Tool from Mcafee...I had to get this from a friend so I am guessing McAfee Support provides it.
Running this will give you a pretty good idea of what is happening.
When you run a "Collect and Send Props", all .xml files should disappear from this folder.
If you are seeing things being blocked, but no events showing up in the DLP Monitor, go to the C:ProgramDataMcAfeeCommon Framework and open the EvtFiltr.ini to see if 19015 events are being blocked. If they are, you need to go into Server Configuration in the EPO console to re-enable these.
ADDITIONAL NOTE: If programs like Roxio or IMGBurn are acting weird with DLP, try deleting the Upper Limits Filter value out of the registry, this can fix some of these issues.