Moving to DLP forum for better chance of an answer
You will need to go to the exceptions tab in your email protection rule and create a new exception rule there. You can create a new email definition here and specify the domains you would like to exclude.
As far as the evidence issues go - either the rule does not have evidence collection enabled or possibly you have a corrupt rule altogether. It is very unlikely that evidence collection would function for all other rules and not function for specific ones.