So you have analyzed the results of your monitor policy and are ready to move forward. In this video, I discuss setting up notifications to help alert your users they are about to share sensitive info.
Microsoft Documentation Rescources.
Custom Notifications:
https://docs.microsoft.com/en-us/microsoft-365/compliance/use-notifications-and-policy-tips?view=o365-worldwide#custom-email-notification
If your policy Tips are not showing there can be several Gotchas, see this link for some of the scenarios that can prevent them from showing.
https://docs.microsoft.com/en-us/office365/troubleshoot/data-loss-prevention/data-loss-prevention-policy-tips