Did you tried applying the policy after logging off and logging on to the ePO console ?
Could you please try to apply the policy from any other machine (remote console) ?
Re-installing the DLP management tools will fix this issue, Please refer the KB84822
Thanks for your help.
I uninstalled the management tools and all worked like a charm!
This issues is because you are using Interner Explore that is not version 8 - 10.