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
https://docs.microsoft.com/en-us/windows/threat-protection/windows-defender-application-guard/test-scenarios-wd-app-guard
Alternately, also monitor web traffic at the network layer for DLP to scan the pasted content.