enable real-time session-level monitoring of an app by using Microsoft Cloud App Security, & Blocking Data Downloads via Microsoft Cloud App Security

 

Publish App. Create a conditional access policy that has session controls configured.

From MCAS modify the Connected apps settings, From MCAS create a session policy

https://techcommunity.microsoft.com/t5/itops-talk-blog/step-by-step-blocking-data-downloads-via-microsoft-cloud-app/ba-p/326357