That video made it look like pretty much any lock is useless against some big enough bolt cutters.

Is there such a thing as a bike lock alarm? Where if the lock is broken, a circuit is broken and thus a car alarm type sound goes off?

I don't leave my bike in an area where I really have to worry about bike theft. But if I did, I'd probably either ride a non-tempting beater and/or remove the front wheel and seat to make it less tempting.

Otherwise I think the next best defense would be a tracking device so you can at least hope to recover the bike.