to add on to this, the DLP engine should be looking for the data in the headers, not the body of the file.
Further info for others on this path. In your Purview tenant ( https://compliance.microsoft.com ) you MAY be able to see the GUID for each Purview label, but its not a given. If you cant see the data in the GUI, you can extract the GUID via Powershell but you will need to install the PowerShell commandlets for the compliance dashboard. Here are the docs on how to connect: Connect to Security & Compliance PowerShell | Microsoft Learn
Alternatively you can set a label on a file (word, excel, powerpoint, etc), change the extension to .zip and then search for the text "MSIP_Label_" in the folder. You will then have the guid. Set the lable on the file to the other label types you want to target and perform the same zip -> search action to find the other GUID's. It's tedious mut maybe less so than PowerShell online which can be very fiddly.