Are you using Full DLP license or only Device control ?
SO there are more licenses ? i think I have only device control as this was installed by an admin before me
If you have a device control "only" license you can't do that! You need a full DLPe 9.4 License to enable Cloud, Email etc. protection, because this are part oft the "Data Protection" Rules and not Device Control Rules!
See our product Guide for DLPe 9.4.100 page 12
In McAfee Device Control, only removable storage data protection rules are available....