The Policy Server version 12.6 doesn't support anymore the DLP functionalities.
Before 12.6, axis2c libraries were installed in order to provide
webservices functionalities to the Policy Server to insure integration
with DLP (CA DataMinder Content Classification Service).
Integration with CA DataMinder Content Classification Service
But from Policy Server 12.6, this functionality isn't been ported anymore.
DLP Integration Support
CA Data Protection Content Classification Service Integration is no longer supported.
and this is the reason why you don't see the folder available.