Microsoft today announced the upcoming public preview of DLP for SharePoint Online/OneDrive for Business. Later this quarter, it will be available to every single eligible Office 365 tenant. You can now create proactive policies to remediate violations and empower your users with policy tips and notification emails so they can take the right decision while working with sensitive data, just like you do today with DLP in Exchange. Microsoft has also added some near analytical tools to measure usage data. Admins can track the effectiveness of policies with the rich reporting built into Office 365. In addition, they can create admin-facing incident reports with information about each incident that can later be reviewed by their security teams.
Read more about it here.