The location of your shared data can be slightly confusing on O365 and you should be aware how we scan them
OneDrive, SharePoint, and Teams are three separate products that have been merged gradually. Currently O365 works the following way:
OneDrive:
A OneDrive is attached to individuals and we scan them for privacy data by the individual owning the OneDrive. OneDrive folders can be shared and you may on your personal OneDrive have a virtual folder, which is actually a folder residing on someone elses OneDrive. Virtual folders (links) in OneDrive are not scanned by our privacy scanner.
You may also have mapped folders from a SharePoint site in your personal OneDrive. For these the same rule apply.
SharePoint and Teams:
SharePoint and Teams sites are scanned by site/team. This means that they will have a start URL in some form similar to this: https://sharepoint.<client>.com/sites/<site-category>/<site-name>. These may vary between organisations. When you access a Teams site in your browser, you will not be able to recognize this url pattern, but all Teams sites are accessible with a URL in this form.
Privacy reports are sent to the owners of the SharePoint and Teams sites. This may be a personal e-mail account or it may be a shared-mailbox account connected to the site. All Teams sites have an associated shared mailbox with the site. This means that a privacy report will be sent to the shared mailbox of a Teams site and be visible in the channel.