When configuring Microsoft Purview DLP rules for exchange there is an option for adding an exception for Message Type Encrypted. This does not work for Office 365 Message Encryption (OME). Instead use message type “Permission Controlled”.

Thanks to Tony Redmond for pointing this out at Office 365 Pros: https://office365itpros.com/2022/02/24/data-loss-prevention-email-exceptions-encryption/