I think the answer lies here:
"IPS and Application Control are only applied using flow-based inspection. Web Filtering, DLP and Antivirus can also be applied using proxy-based inspection." (cf FortiOS HandBook).
From what I could see in the docs, the DLP engine itself doesn't scan the traffic. The engine communicates with the processes in charge of the scan, and "ask" the process if it can find the specific pattern.
I suppose that the next question could be "how do I know if it's the proxy or the IPS engine that does the scan?"
Well for that, I suppose that the only way would be through testing (which I can't do right now).
Let me know if it helps, though.
Thanks in advance and regards,
I'm operating by "Crocker's Rules"