Microsoft Information Protection

If you have a license for Purview and use Purview this feature allows you to use MDCA to help protect your sensitive files and apply labels.

Microsoft Information Protection settings

There are two checkboxes here, Automatically scan new files for Microsoft Information Protection sensitivity labels and content Inspection warnings is really what enables this integration, once enabled it only scans new files and modified files. Microsoft lays out some details about how you can get it to retroactively scan other files here

The second checkbox, Only scan files for Microsoft Information Protection sensitivity labels and content inspection warnings from this tenant is pretty straightforward as well. Enabling this will not monitor sensitivity labels that didn't originate from your tenant.

Inspect protected files

If you have not already granted permissions for MDCA to inspect protected files you will see a blue button to grant permission. This is not required for MDCA to handle files tagged within MDCA, but anything that was tagged in Purview will be inaccessible to MDCA until you grant this permission.