You can use the third party tags option to identify and track sensitive content for documents maintained using third party tools. Microsoft Purview Information Protection can be used for these classifications.
Make sure that your Azure server settings are defined in DLP Policy Manager → Definitions > RM Server.
In ePO - SaaS select Menu → Data Protection → Classification.
Click New Classification.
Type a unique name and an optional description.
Click Actions, then select either New Content Classification Criteria or New Content Fingerprinting Criteria.
Select the Third Party tags property.
Select the classification labels as needed.
Select the Azure RMS server name from the Value drop-down list and provide a label. To select a label, click picker and select the label from the pop-up window.
(Optional) Click + and add another name / value pair.
Click Save.
The selected tags are applied to the classification.