It is not possible to set the time zone that the data protection alert emails display in. They always display in GMT / UTC  +/- 0 hours.

There is a time zone setting in:

• Dashboard > Services > Data Protection > Data Protection > Settings > "Default time zone"

This setting only applies to data protection rules that are using the "Time interval" condition. For instance, if there was a policy that was designed to only activate outside of regular business hours.

It does not change the time zone that the administrator email alert shows that the policy was triggered.