Finally, you can “MIP label” a document directly from the Office client where you create it

Microsoft Release Announcement

New Feature: Office apps for Windows introduces native sensitivity labelingMC190038Stay InformedPublished On : 9 September 2019

Excel, Outlook, PowerPoint, and Word will support Microsoft Information Protection sensitivity labeling and protection as part of the Office 365 Monthly Channel and Targeted update for Windows apps that is rolling out in September.

This change is related to Microsoft 365 roadmap items: 44920, 44922 and 53147.