Simply put, it would be a great deal of work to implement for negligible real-world gain.
Let's imagine for a moment that such a "standard" mechanism for meta data describing the confidentiality level of a particular file existed and we are able to hand-wave away the technical details implementing such a mechanism across multiple file formats, operating systems, mail servers, clients etc.
Someone is going to be ultimately responsible for setting that information on a per file basis and, logically that is going to be the people creating/working with these files.
So, Joe Bloggs in accounting has been working on the company's quarterly figures in Excel for the last week or so, and like the diligent employee he is he has ticked the box to indicate that this is "Confidential" information. Satisfied with the job well done and certain that as soon as Mr Grand Boss the CEO sees his detailed and colorful pie charts he'll be getting that raise he's been hoping for, so he attaches the completed Excel file to a new e-mail and hits send. Outlook refuses to send the mail though, because the attachment is marked as "Confidential" and sending such files is forbidden.
Joe still needs to get these figures to the CEO though so does he:
a) Look into some way he can encrypt the file? He's heard the word in movies before but doesn't really know what it means, or where to start.
b) open the file, un-tick the "Confidential" box and re-attach it to the e-mail.
I can almost guarantee that in 99% of cases it's going to be option B, and that's not someone who is trying to circumvent security. They are just trying to do their job.
For someone who is trying to circumvent it, to send confidential information and documents to competitors or whoever for nefarious purposes. Then if they have the permissions to modify the file they will remove the confidential flag, send the mail and then re-enable it. Even if all they have is read access they will open the file and copy-paste the contents into a fresh one and send it.
So in either of those scenarios the "Confidential" flag has done precisely nothing to increase security