I’m a Sophos partner and I’ve been testing different settings for this. I was able to get Classic working again by adding an Exploit Mitigation exception.
https://community.sophos.com/intercept-x-endpoint/f/recommended-reads/117960/sophos-intercept-x-how-to-exclude-applications-from-exploit-mitigation-functionality
If your local Sophos is running tamper protection and you don’t have admin rights, you’ll need to contact whomever manages your Sophos environment for assistance.
I’m still working on getting retail working again. I’ll provide an update if I get it identified. I have opened a case with Sophos Partner Support to investigate further.
Edit: TY Elocin for the tip. 
Edit 2: I have retail working now. It took rebooting after putting in the exploit mitigation and it started working again. My other computer had an issue with starting the cinematic in Classic (I had attempted to reinstall WoW) and it was being hung up by Windows Defender. I disabled it, started it up which worked, restarted Defender and it was still able to launch. I reinstalled the Sophos client and everything still worked. For me the resolution was a specific Exploit Mitigation for each of the main WoW executables and a reboot as described above.
TLDR: For Sophos Endpoint users, add Exploit Mitigations (following the instructions linked above) for the main WoW executables and reboot.