Why is there no alarm when the transponder is turned off?
Because it's not worth it.
Quick, name me another accident where a transponder-off alarm would have been exactly what was necessary to save the crew, the passengers, or the airframe?
Hint: there aren't many.
The number of false positives would drastically outweigh the number of actual events where a transponder alarm would have been able to do some good.  For example, air traffic control might ask an aircraft to turn off their transponder.  Nothing dangerous there, but alarms would be going off back at dispatch.  Good idea on paper, but not practical enough to make it worthwhile in the real world.