AD Groups are not working in DLP Policies when you are using Azure EntraID Active Directory.
Azure EntraID
Azure is not a Hybrid environment.
The Microsoft Entra ID support for DLP Agents is applicable for hybrid identity in Microsoft Entra ID deployment with the users and groups from on-premises Active Directory being synced to Microsoft Entra ID.
In order to use Azure EntraID you must be using a Hybrid environment (This means you use Azure AND a local AD Server).