Currently SoftGrid 4.1 and 4.2 do not offer a management pack to look at the health of the SoftGrid Infrastructure.
One thing you can do is to enable the SoftGrid Client to log to the eventlog (this is not on by default):
Once you enable the SoftGrid Client to write to the eventlog, you can use other tools to monitor the eventlog.
The SoftGrid Virtual Application Server already outputs messages to the eventlog by default.
Why Would I really want to do this? Well if you live in a highly managed desktop environment or If you need to make sure that your Terminal Server Estate is being monitored consistently from an application service perspective than this will be strongly recommended. The ability to capture and monitor events using monitoring solutions such as MOM/Operation Manager 2007/ Desktop Error Monitoring or another third party solution!