When a user saves data to their personal or business OneDrive, DLP is not detecting sensitive data. This applies to Microsoft Office Excel, Power Point and Word or Office 365
DLP 14.x
DLP 15.1 - 15.5
Office 2013
O365
This is a known limitation of the product in DLP 14.x - 15.5 depending on the version of MS OneDrive being used.
For Microsoft OneDrive, this issue has been addressed in DLP 15.x.
For Office 365, this issue has been resolved in DLP 15.7 MP1.