Selecting sites to include/exclude in Office 365 DLP

When you create a DLP policy you have the option to exclude or include certain SharePoint sites as shown above.

If the sites you wish to include or exclude are anything but the default team site (i.e. https://tenant.sharepoint.com) then you need to manually search for the URL.

Thus, if you are looking to include or exclude a SharePoint site that was created by Microsoft Teams then you need to explicitly search for it by URL to add it to your list as shown above.