You may already know Azure Information Protection Unified Labelling, the document protection and labelling solution based on Azure Right Management services and Office 365 Compliance.
Well, good news Sensitivity Labels, after being integrated with Outlook Web Access and Exchange Online, are now also integrated with SharePoint Online and OneDrive.
First, before gaining advantage of this integration you need to logon to your Office 365 Compliance portal (either from https://protection.office.com/ or https://compliance.microsoft.com/) to access the Sensitivity Labels configuration blade – this implies you already have migrated from Azure Information Protection/Right Management Services to unified labelling:
Then you should see a yellow banner telling you the Information Protection has not been turned on to process content in Office Online; just hit the Turn on now button
Then when you open an Office document on SharePoint Online or OneDrive using Office on the Web, you will see the Sensitivity button (same as with the Office client) to apply a label