The problem with sensing after the voltage is dropped is the transformer typically sits across two of the phases (delta-Y configuration) so it is still prone to picking up voltage from after the break. We often get single phase failures in my locality but the result is a drop from about 250V to about 150V so it results in a 'brown out' rather than complete failure.
You might be able to sense a failure by carefully dropping each line with high voltage resistors then analyzing the waveform for distortion but it is tricky and not entirely reliable. You have to check relative to ground and at least check for 120 degrees shift between voltages. If one phase fails, it's peak probably won't measure as 120 difference from the remaining phases but something else depending on the nature of load and the phase shifts it produces. You probably wouldn't get a sine wave either so correlating it to the other phases might be difficult.
The non-invasive solution to monitoring current is to use Hall sensors or clamp-on current transformers, they do not require the cables to be re-routed through the detection equipment. For simple 'open/broken' checking you only have to see if they produce any output, no measurement or analysis is needed.
Brian.