As per documentation Microstation .dgn files are supported for content extraction. However detection does not work for .dgn files with sensitive content on DLP version 15.8
15.8
DLP 15.8 version uses keyview 12.5.2 and DLP 16.0 uses keyview version 12.9
Engineering confirmed .dgn files are not supported for content extraction with keyview 12.5.2 and are supported with 12.9
Upgrade to DLP 16.0 which uses keyview 12.9 which supports .dgn files for content extraction.