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Thanks for sharing your concern — and you're absolutely right to raise this as a usability and risk issue, especially in large tenants where DLP (Data Loss Prevention) policies are created frequently.
The default selection of "Add all environments" being listed first in the DLP policy scope setup is risky, as it:
Your proposed order:
…would significantly reduce the risk of accidental tenant-wide policy application and aligns with safer defaults.
I recommend: