If the Mail Server is a Microsoft Exchange server, set the Exchange server to be an SMTP Relay for this newly created DLP gateway.
After you complete the wizard for a DLP gateway of any platform, enable the Software Blade and Install Policy.
DLP by default scans traffic from internal networks to external networks, so you must properly define the DLP gateway interfaces as internal or external. You can do this when you define My Organization in the Data Loss Prevention tab of SmartConsole.
On a dedicated DLP gateway, only the DLP Policy is installed. This is not a security policy. Make sure you have another Security Gateway in the environment to enforce the Security Policy.