Vanta has the ability to sync policies from your SharePoint. Once SharePoint has been connected, you will have to ensure that the policies are placed in a folder that exists within the root drive. By default, this is the default Documents drive on the site.
If this differs for your environment, you can determine your root drive by logging in to the Graph Explorer here and hitting the following endpoint:
That base URL will tell you in which directory Vanta is looking. In this example (and by default in SharePoint), this is the Documents page: