You can install the Symantec DLP software on a drive other than where the OS is installed. There are no restrictions in place that would prevent you from doing so. In the Install Guides it does recommend that you accept the defaults, but this in no way implies that you are unable to change the installation path. Below is an example from the 7.1 installation guide for windows:
Accept the Symantec DLP default installation location, (at the server root level, for example, C:\Vontu or C:\SymantecDLP), and click Next. Symantec DLP recommends you use the default installation location; however, you can click Choose to navigate to a different installation location instead. Do not install Symantec DLP in a folder or path that includes spaces (for example, C:\my documents\Vontu is not a valid installation location).
NOTE: As noted above, although it is recommended that Symantec DLP be installed on the root of whatever drive you choose, you can choose a subdirectory that does not contain spaces (e.g., c:\apps\Vontu).