I dont know if you have sorted this out yet but in case someone else has the same question.
Yes, it is possible and is detailed in the Admin guide on page 53, you can mark sensitive files through the use of csv.
so what you need to do is create a CSV file detailing the location of the file and the policy you want to assign:
\\foo\bar\document.txt, PolicyX \\foo\document.pdf, PolicyY
the edit the dlp_db.conf file located in <datadir>\conf like this (note the forward slashes):
dlp.csv.enabled=true external.file.path=DISK:/Path/to/file.csv on Management Server