You need to configure a Sensitivity label.
Go to the Security & Compliance Admin Center.
Navigate to Classification > Sensitivity labels.
Click on + Create a label to create a new label.
Give the label a name and description then click Next.
Leave the Encryption option as None and click Next.
On the Content Marking page, tick the checkbox Add a footer.
Click the Customize Text link and add the footer text and click Save (for the question, it doesn't matter what text you add).
Click Next.
Leave the Auto-labeling for Office apps off and click Next.
Click the Submit button to save your changes.
The label is now ready to be published. Click the Done button to exit the page and create the label.