best response confirmed by Ben Curran (Occasional Contributor)
Solution

After doing a lot of testing the best solution, due to a number of reasons with external spam settings, was to create a Power Automate flow to pickup up the information of the DLP alert from an email in a shared mail box. The flow extracts the required information needed to inform the user of the event and presents it in a fully customised email sent from the shared mailbox.

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