Hi Linda
Thank you for your kind assistance.
Sorry but, as mentioned in my first post, I was able to create tags and policies and they are correctly working! (I see messages moved daily to archive!)
What I mean is: since I included a PERSONAL TAG into the policy applied to my mailboxes, I should be able to set them manually by RIGHT CLICKING a message and choosing "Archive Policy" or "Retention Policy" . Just like this: 
Could you please help me understand why I don't see these from both OWA and Outlook?
Thanks!
Max