There is no option for marking exception as a key request. As name of this entitiy states this needs to be whole request (or it's part that is in service). Exception isn't request so it cannot be marked as key one. If you have license for log analytics and this exception is thrown somewhere in log files you can make custom event on log that conatins it. I don't have another idea about tracking it. If failure rate caused by this exception reach baseline, DT will alert you but this will be related to all exceptions and errors, not only this particular one.