Thank you for your post. I have a problem similar to yours.
I have been looking for days for a way to block file sharing to internal users who are not in the same private Teams group.

I have exactly the same DLP but I don't have this blocking.

For the proccess, I have created :

- An internal label
- A label policy
- A SharePoint DLP with the same conditions with the blocking action on "Everyone".

Have you done any other configuration ?

Thanks :)