You are following the documentation on how to set up Email Quarantine:
In step 2, the instructions state "... When Email Security.cloud receives the message, it inspects the relevant headers. Based on these headers, it quarantines the message."
But you want to know how to set the required options in your Email Security.cloud account.
DLP Cloud Service for Email customers in "forwarding mode" have the "Email Quarantine" feature in Email Security.cloud enabled as part of their service.
However, the configuration of the quarantine policy is actually a Data Protection configuration within Email Security.cloud.
Release : 15.8
In ClientNet (aka the Email Security.cloud portal), go to Dashboard > Services > Data Protection.
Screenshot example of rule as configured in ClientNet:
For further information about setting up rules in Email Security.cloud, including a recommendation to test new rules with a "Log only" action, before implementing quarantine function - please see this page: