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Thanks for your question.
Sensitivity labels won't appear under Sensitive info types in a DLP policy because they're different conditions.
Instead, when creating or editing the rule, go to:
Conditions → Content contains → Add → Sensitivity labels
Since you've confirmed the labels are published and visible in Word, the labels themselves appear to be configured correctly.
If you still don't see the Sensitivity labels option, could you let us know:
- Are you creating a DLP policy or an Auto-labeling policy?
- Which locations are selected for the policy (Exchange, SharePoint, OneDrive, Devices, Teams, etc.)?
- Are the labels configured for Files and emails (Items)?
This information will help us narrow down the cause.