You can monitor for any predefined message that is sent to your program’s message queue as a *NOTIFY, *ESCAPE or *STATUS message.
Since CPF3741 is predefined (i.e., it has a message identifier so it must have a message description in some message file), then it only needs to be sent to your program’s message queue as one of the three monitorable types.
You should check the BRMS manuals for using the MONMSG as an *EXIT command in a control group. If you want to modify the way BRMS handles exceptions check the BRMS system policy menu (WRKPCYBRM *SYS) look at the notification controls. It has a parameter that can change the messsage handling for BRMS. If your STRBKUBRM commands to start your control groups is wrapped in a CL program you can use the MONMSG command there to take corrective action if required.