It would appear that if you create a Data Control Policy which prevent users from emailing file types to unauthorised email destinations like gmail, webmail, hotmail and attach any document from a network directory it allows the email to be sent (Shocking).
If you attach a file from your local machine it blocks the file fine, it would seem that the Sophos agent has difficulties understanding mapped drives which it pretty shocking for a security product.
Note:
I have sent this information to Sophos to review and I may have missed something so don't take this as gospel. This maybe an isolated issue which is happening in my environment.
Server 2003 R2 x64 SEC 4.7.0.13
Client Win7 x86 9.5
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