Example: Block files uploaded to a specific site:
https://EXAMPLE.sharepoint.com/sites/CustomerFiles/
To exclude a SharePoint site, you can add a Contextual Rule match for (Cloud Applications and API Detection) with the attribute value of Sharepoint Site Name and list its full URL.
Alternatively instead of an exact match use use a regex .*example.*
SharePoint Site Name can be seen in the DLP enforce incident message by selecting the Open Original Message and look for {"name": "common.sharepoint", "value": ["Your SharePoint site URL"]}