There is no "upgrade" process. DLPe 9.3.x and 9.4.x run independently (separate policies, etc) in ePO. This KB helps explain https://kc.mcafee.com/corporate/index?page=content&id=KB85478.
There's also an extremely helpful Youtube video(search McAfee DLP 9.4 and it'll be labeled McAfee DLP 9.4 patch 1 - Policy Conversion) that was put out by Intel to cover the migration of policies from one version to the next. The video was helpful because it showed someone doing the update and that you'll need to know your license number and default storage location. Also by default all of the policies will be disabled in 9.4.1