The way the Endpoint agent works, is when a File or document is sent to the OS print spooler, the DLP agent intercepts that transmission and will then inspect the contents and compare that to the policy. So it will then trigger an incident on the match of the policy.
If they are printing through a Main Frame.. how is the Endpoint connected to the MainFrame? It sounds like they are connecting to the MainFrame using a 3rd party app. (Citrix or an Emulator) so in reality they are NOT printing from the OS, but on the MainFrame itself. If this is the case then the agent is not going to see anything. If they are using Citirx, then they should install an agent on the Citrix server, this is outlined in the installation guide.
https://www-secure.symantec.com/connect/forums/dlp-print-monitor-how-it-works