James Manning today pointed out a post from Marcel de Vries showing how to register for email when someone checks in after overriding a policy failure.  While any policy failres and override comment are included in the standard check-in email, this allows you to get an email specifically when someone overrides a policy failure.  It's only a few lines of code, and it uses the built-in event system support for sending emails.  He even provides a link to a zip file with the solution.

How to receive email on a Team Foundation check in policy violation

[Update] He mentions in the post that the delivery of the events is guaranteed: "the implementation also has a guaranteed delivery system using SQL server."  Though the events do get queued for delivery in a table in the SQL DB, there's no guarantee that an event gets recorded, because the recoding of the event is not transactional with respect to the work that generated the event.  It's pretty robust, but it's not guaranteed.