It is possible to integrate any MTA with DLP Prevent. Prevent simply acts as another SMTP mail relay. I am not familiar with the SonicWall products, but simply tell it to route the mail to Prevent, and configure SonicWall as the smary host on Prevent. When the message is returned to SonicWall, there should be rules to look at the headers and implement whichever action was set on the message.
You can see some details on example mail flow, Prevent configuration, and MEG configuration here: https://kc.mcafee.com/corporate/index?page=content&id=KB71951. You should be able to adapt the MEG configuration to something that will work on SonicWall.