Protecting a document using Microsoft Purview Information Protection

Microsoft Purview Information Protection is published for my domain and I have enabled the security preferences as shown.

When I go to protect a document by going to EDIT > Protection > Security properties and selct the Security tab and change the Security Method to "Microsoft Purview Information protection",  I immediately get this response:

I am the administrator on adobe, but I don't understand what else needs to be enabled.  

Any Suggestions?

Thanks!