Hello @Graham, Walt ,
Currently it seems like there is no direct option to select backup failed alerts in Alerts blade. However, you can follow the steps in this Stack Overflow thread for a workaround to achieve Backup Alerts. To create the rule, navigate to App Service --> Monitoring --> Alerts.
If you would like to see this as a feature please share your feature request on our Azure Feedback site which is closely monitored by the engineering team.
Hope that helps. Please let us know if you have further questions.
Thanks,
Grace
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