I don't know about a key, but you can click on the individual messages that pop up when a unit is attacked. That will take you to the unit.

I also suggest using grouping keys. This was a carry-over trick I used learned playing the Wargame series, but it works the same here. Select a unit or units, and press ctrl + a number, you've now got an instant unit select.

I typically use this whenever I have artillery, or an assault group.

I assign artillery to 1, so that I never have to zoom to the rear to select it, making for faster target selection. If I want to go to the artillery unit, say I need to shoot-and-scoot, double-tap 1 brings me there.

Recon goes to 2, main armored body 3, support for the armor 4 (trailing AA, mortars)

I most often use this system with Raids, Attack and Meeting, where I have a cluster of units moving together, but with different specific jobs. Click 1 to fire on the newly spotted position, oh, they've seen my scout, click 2 and tell it to back up, 3 and tell my 2 tank platoons to advance and fire on the new target. 4, click z so my AA stops moving forward and can engage any incoming air support. All done in a couple of seconds.

And you can certainly use this technique with defensive positions, instantly zooming to areas of interest. Say you've got three points where you want to defend, alfa, bravo, and charlie. Assign each defending group a number, 1,2,3, and you can quickly zoom to each by double-tapping the number.

Now you can't group allied units, but as noted by spike2071, you can click on the message.