Do you have the Data Loss Prevention extension installed within ePO? From there you go to Menu -> Data Protection -> DLP Policy and can create/manage your DLP policies. I think you'll need to install the DLP management tools on whatever workstation is accessing ePO also..
As stated above, you actually need the DLP extension added into ePO. What you can do is to get it from the software manager or add it manually. Then you will be able to access the DLP policies.
Please see below for help:
I would advise you to re-deploy the DLP agent from ePO though.
thank you Mehdi!