Is This Normal Behavior for DLP in M365?

I'm just getting started with M365 and have set up Exchange Hybrid successfully, along with Central Mail Transport (CMT). However, I've encountered an issue that I need some advice on. I created a DLP policy to block credit card information from being sent both internally and externally. Intuitively, I thought that meant if I, as an EXOL user, tried to send credit card details to a coworker or an external address, it would be blocked. But here's the twist: when my Gmail account sends credit card numbers to my EXOL account, the email gets blocked, and I receive an auto-response indicating that it conflicts with our organization's policy. This behavior seems odd to me, and I can't find any info on whether this is expected or if I need to check something in my EXOL settings. Any insights would be greatly appreciated!