Hi DD,
Please refer below links
https://www-secure.symantec.com/connect/forums/add-header-every-email-dlp-touches
https://www-secure.symantec.com/connect/forums/dlp-network-prevent-can-not-add-x-cfilter-quarantineyes-mail-header
https://www-secure.symantec.com/connect/forums/network-prevent-email-will-not-modify-subject-header
https://www-secure.symantec.com/connect/forums/email-header-not-modified-dlp-smtp-prevent
https://www-secure.symantec.com/connect/forums/dlp-policy-emails-marked-private-0