Is it possible to set the time zone for the data protection policies so that email alerts display in the desired time zone?
It is not possible to set the time zone that the data protection alert emails display in. They always display in GMT / UTC +/- 0 hours.
There is a time zone setting in:
This setting only applies to data protection rules that are using the "Time interval" condition. For instance, if there was a policy that was designed to only activate outside of regular business hours.
It does not change the time zone that the administrator email alert shows that the policy was triggered.