Outlook Add-in for Office 2016

I would check out 

http://ideas.sophos.com/forums/17359-utm-formerly-asg-feature-requests/suggestions/13648191-outlook-2016-support-for-the-outlook-add-in

and 1 up it.

In short, click to run office products are not supported by the outlook plug in.

Other things you could do is create a message classification and use the meta tag   sensitivity company-confidential  .. then create a header rule in the appliance to encrypt on both a subject line, and the header field.. Like so:

Add SPX rule

under configuration \ policy \ data control or additional policy \ outbound

add
rule type:
messages matching specific words or phrases
enable advanced policy
next
rule config:
click on the regular expressions tab
.* (period star, no spaces etc)
add
next
message attributes : (2 rules)
#1
select header
Name Subject (note the capital S is important)
check off "is (exact match)"
value : *encrypt* (or what ever keyword you like) you can also use the contains sub string if you want to look for *encrypt encrypt [encrypt] etc)
apply

#2
Header
Name Sensitivity (note the capital again)
check off "is exact match"
value company-confidential (all lower case)
apply

you will now see a check box at the bottom of the rule.. make sure you click "One of the message attributes must be present"

so the rule in the window should read..

Header is:'Subject: *encrypt*'
OR Header is: Sensitivity: company-confidential

next
select users
next
main action
encrypt using spx, select your template and you will probably want to check off all 3 boxes..
additional actions
next
rule description
name it save it.

once your dropped back to the list of policies use the arrows ^ to move it to the top and click save order.