Hi
@Marvin OcoAFAIK there is no ability to send an email to admins if a malicious link is detected in Safe Links. By the policy you can block URL's, stop users clicking through to the original URL but not actually notify administrators if, for example, a link is detected.
May be worth raising a uservoice for this here
https://office365.uservoice.com/forums/289138-office-365-security-complianceThe Threat protection status report will show everything caught on safe links and you can generate reports in the Microsoft 365 security centre to send reports on a weekly basis.
https://docs.microsoft.com/en-gb/office365/securitycompliance/view-reports-for-atp#threat-protection...Hope this answers your question
Best, Chris