How to get VPN users connected alerts through mail notification?

Hi, 

I think these are the current system events that XG would send email notification/s:

https://community.sophos.com/kb/en-us/131850

Not quite sure if there is an existing feature request here;https://ideas.sophos.com to expand the mentioned list in kb, however if you saw one you can just up vote it. If none you can put up a request. 

Hope this info helps. Regards

There are plans to expand this and even "analyze" those logs with Central. 

Can you integrate your XG into Central? 

Try to perform this. community.sophos.com/.../133432