Make sure you have purchased and licensed as a full DLP and not only Device control. If you have Device control license it is normal to have the categories greyed out
In your zip package you downloaded for DLP, there will be a DLPe9xxLicensed.txt file. This contains your license key. In your DLP console (menu - data protection - dlp policy) click on help, update license. If the license there has an expiration date, you will need to update using the key from the file. If full DLP was purchased, the expiration date will change to "perpetual" and the license type will change from "device control only" to "full protection".
indeed it does say "Device Control Licence".
Thanks for a swift response.