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You can create alerts on metrics for virtual machine scale sets via PowerShell or Azure CLI. For more information, see Azure Monitor PowerShell quickstart samples and Azure Monitor cross-platform CLI quickstart samples.
The TargetResourceId of the virtual machine scale set looks like this:
/subscriptions/yoursubscriptionid/resourceGroups/yourresourcegroup/providers/Microsoft.Compute/virtualMachineScaleSets/yourvmssname
You can choose any VM performance counter as the metric to set an alert for. For more information, see Guest OS metrics for Resource Manager-based Windows VMs and Guest OS metrics for Linux VMs in the Azure Monitor autoscaling common metrics article.