The option is grayed out for Subject when configuring a rule that uses an EDM.

This functionality is by design - Exact data (EDM) detection can only occur on Envelope / Body / Attachment(s)

You can find additional details by searching the online help of DLP for "EDM message components"

NOTE: You may select the Body and the Subject will be inspected in addition to the body.

We have an open Feature Request as follows to add additional functionality in the future: 

Ref: PM-1987 - Detection - Support EDM Matching on Email Subject Line.