@Luizao_f No, you cannot send Azure sentinel alerts to M365 Security Center. Defender ATP, ASC etc are different where not all alerts are synced across these security solutions. Also, these solutions are designed to generate logs for the specific investigations and perform tasks which they are designed for. Even if you get the solutions logs on Sentinel, you need to go back to actual source system to perform more investigations. Sentinel only provides you a single view of all the issues in your environment, however, for investigations you may need to go to the actual system.
Like you said there is no definite approach defined for all these however, you can refer to this external blog - Microsoft 365 – Security Monitoring which will provide you high level overview of evaluating security solutions for your environment which may help you decide on what approach you want to have for your environment.