Hello Gurpreet,
Thank you for reaching out. Based on our research it is currently not possible to have a system health status alert for MDCA app connectors generated in Microsoft XDR when the app connector is down.
You may contact the MDCA team to raise this as a feature request by contacting the MDCA Support team directly via the instructions listed here: https://learn.microsoft.com/en-us/defender-cloud-apps/support-and-ts