Thank you for reaching out to us. As I understand from your query your ask is why to create a policy in Defender for Cloud app portal when data is discovered/classified in Exchange/SharePoint/OneDrive/Teams apps.
Now a days, organization moves all important data to the cloud and has mandated cloud storage to be the primary data repository for new data ( like box, dropbox etc ).
Microsoft Defender for Cloud Apps provides you with an expansive suite of DLP capabilities that cover the various data leak points that exist in organization, so the policies created in Defender for cloud apps portal will help in protecting/classify/discovering data applying the policies.
Let me know if my understanding of the issue is incorrect or you have any further question.