Currently, the Dynamics 365 mobile app doesn't apply Intune MAM policies on one's own tenant when accessing an environment on another tenant.

Due to Intune's specifications, MAM policy cannot be applied to guest users, thus making it impossible to protect information on another tenant. 

It is easier to manage when a feature of the Dynamics 365 mobile app is implemented that includes features like MAM policies or the ability to apply MAM policies to guest users.