Hey Vivi,
I would suggest that you do not need an alarm, you have a penthouse and it should be quite safe.
Regarding the pergola, be careful to make sure you install the correct one, some people have already tried to design and install their own and will have to remove them, based on the normal floor space of the roof top solarium, you should have ample room for sunloungers and a table and chairs, it will make a nice feature on your solarium and will enhance the roof top, in my opinion.
Regards,
Marvin