The SQL Server connection to the Key Vault can be lost for various reasons of either the SQL Server (updates, backups etc..) or the Key Vault (Key expired, disabled etc.) Luckily Azure provides detailed logging and alerting through Azure Monitor Logs and Alerts.
Azure Key Vault is a tool for securely storing and accessing secrets. A secret is anything that you want to tightly control access to, such as API keys, passwords, or certificates. A vault is a logical group of secrets.