Hi,
One option would be to send Azure AD audit log to Event Hub and then have Logic app that processes the events and send data to CyberArk. Article below walks through for scenario with Applications, but you can use same basic technique (with modifications) for users:
Azure AD App Tracking with Logic Apps
https://devblogs.microsoft.com/premier-developer/azure-ad-app-tracking-with-logic-apps/
If the above was helpful please click Accept Answer.
Thanks.
-TP