sudo is supported on both Mac and Linux endpoints - this is controlled in the portal.

To enable sudo support for macOS, go to Endpoint Privilege Management > Settings > Mac Settings > Lockdown > ADMIN SESSION and make sure Allow sudo terminal commands is ON.

To enable sudo support for Linux, go to Endpoint Privilege Management > Settings > Linux Settings > Lockdown > SUDO and make sure Allow sudo terminal commands is ON. You can then further control non-sudoers and sudo interactive sessions.