To block unmanaged devices from performing activities in sanctioned apps that are not allowed, you have to create a real time protection policy with specific constraints. Perform the following steps to achieve granular restrictions on unmanaged devices:
Navigate to Policies > Real-time protection > New Policy.
Select Threat Protection.
In Source section, add criteria as Access method = Reverse Proxy.
Select category as Cloudapp.
Select ‘Edit’ to include actions that should be a criterion in the policy.
Select appropriate threat profiles and action.
Set the action as Block for appropriate.
Create the policy.

Real-time Protection Policy details:
