Security alerts from Office 365 Cloud App Security now flow into the Office 365 Audit Log, which means that you can run the Search-UnifiedAuditLog to find the alerts. Unhappily, more work than should be needed is necessary to extract the interesting information from the alert records.
https://office365itpros.com/2019/02/05/cloud-app-security-alerts-office-365-audit-log/
