Using the out of the box DLP Edge browser extension, DLP does not block or generate incidents when uploading files to 'copilot.microsoft.com'.
Checking the extensions in the browser, we see that the 'Symantec Extension' is listed and enabled. However, when we check the extensions while connected to copilot.microsoft.com, the extension is greyed out.
Symantec Data Loss Prevention Endpoint Detection
Microsoft Edge Web Browser
Working as designed. Microsoft does not allow third party extensions in Edge for 'copilot.microsoft.com'
Enable the Content Analysis (SDK plugin) for Edge
See: Monitoring Microsoft Edge Using the Symantec Data Loss Prevention Connector on Windows Endpoints