Hi Mohamed, I've also been watching for such a feature but I'm not satisfied with what I've seen so far.
That said...
Defender for Cloud Apps has a new feature for blocking unapproved llm activity: https://learn.microsoft.com/en-us/defender-cloud-apps/release-notes
However if you're building an LLM solution I'd suggest including a logging layer so all requests are logged.
If you can send those logs to Sentinel (eg. syslog or logic app api to your app) then you can use KQL to query for patterns of interest. Hope that helps.