Microsoft Defender for Cloud Apps is the correct choice for preventing data exfiltration to external websites. It functions as a Cloud Access Security Broker (CASB), providing visibility and control over data traveling to and from cloud applications. It uses behavioral analytics and anomaly detection to identify suspicious activities, such as mass downloads or uploads to unsanctioned apps, which are common indicators of data exfiltration attempts.

Microsoft Defender for Identity is specifically designed to detect and investigate advanced threats, compromised identities, and malicious insider actions directed at an on-premises Active Directory environment. It analyzes network traffic and events from domain controllers to identify the techniques attackers use for lateral movement, such as Pass-the-Hash, Pass-the-Ticket, and remote code execution on domain-joined machines.

Microsoft Defender for Cloud Apps Documentation: Microsoft's official documentation states, "Microsoft Defender for Cloud Apps is a Cloud Access Security Broker (CASB) that supports various deployment modes including log collection, API connectors, and reverse proxy. It provides rich visibility, control over data travel, and sophisticated analytics to identify and combat cyberthreats across all your Microsoft and third-party cloud services."

Source: Microsoft Learn, "What is Defender for Cloud Apps?", Microsoft Docs.

Microsoft Defender for Identity Documentation: The official documentation for Microsoft Defender for Identity highlights its role in detecting lateral movement. "Microsoft Defender for Identity... identifies, detects, and investigates advanced threats, compromised identities, and malicious insider actions directed at your organization. Key capabilities include... Monitoring user activities, and identifying advanced attacks based on the kill-chain model, such as reconnaissance, lateral movement, and domain dominance."

Source: Microsoft Learn, "What is Microsoft Defender for Identity?", Microsoft Docs.

Microsoft Cybersecurity Reference Architectures (MCRA): The MCRA documentation on "Privileged Access" explicitly shows Microsoft Defender for Identity as a key component for protecting against credential theft and lateral movement within the on-premises part of a hybrid enterprise.

Source: Microsoft Cybersecurity Reference Architectures, "Privileged Access Security," Section: Technical components for Privileged Access.