I am not certain on this, as I am not in front of a suitable installation, but I believe the Event messages for AppInsight for SQL are stored in the following SWQL entity - Orion.APM.WindowsEvent
Therefore you would need to create a Custom SWQL alert to allow the alert trigger definition to reference the above table. The following is a screenshot showing an example of a Custom SQL query, which will be a similar structure you will require for yours. You will need to change the Alert on to Custom SWQL Alert and the condition type to Appinsight for SQL: Application.
I hope this steers you in right direction.
Thanks Mark - Can you please try posting the screenshot again?
Appreciate your help!