DLP has been tested with Windows Defender Exploit Guard and no errors or compatibility issues have been seen.
***Note: Application Guard does not allow the upload of files from local disk to Edge and is not considered a data leak vector. However, users can paste data into application guard Edge and DLP does NOT monitor it.
The recommendation is to disable paste using Microsoft LGPO
Alternately, also monitor web traffic at the network layer for DLP to scan the pasted content.