Thaks for the tip.

I changed the alert for WMI, like shown bellow, and works great!

EXEC msdb.dbo.sp_add_alert @name=N'SQL Performance CPU alert WMI',

@message_id=0,

@severity=0,

@enabled=1,

@delay_between_responses=120,

@include_event_description_in=1,

@category_name=N'[Uncategorized]',

@wmi_namespace=N'\\.\ROOT\CIMV2',

@wmi_query=N'SELECT * from __InstanceModificationEvent WITHIN 2 WHERE TargetInstance ISA ''Win32_Processor'' and TargetInstance.LoadPercentage > 90'

GO