How do you built a mains fail alarm?

Use an intermediary relay that is specifically and only connected to a circuit from a two pole breaker in the distribution panel. Through the N.C. contact of the relay connect your DC alarm system. As long as the power is on the relay stays energized and the N.C. contacts stay open. If a power failure occurs the relay will drop out and close the N.C. contacts. This will close the circuit on the alarm system.