I want to add that not only should there be a way to add a Custom Connector to your company's Data Loss Protection Policy (DLP) but also the ability to limit it's scope. For instance I've created a custom connector to a department database, even though my PowerApp will be available to all personnel in my company. The custom connector should not be allowed to be implemented into any other app that may be developed within the company.
Right now all connectors in the Business Data group are available for use within any departments PowerApp.
We need to not only be able to add Custom Connectors to the DLP business data only group but also be able to limit who can include the connector in their PowerApp.