No. The Alarm.com Smart Home skill does not support scenes at this time.
However, the Alarm.com Skill is compatible with Scenes. For more information, see Alarm.com Skill - Interact with your scenes through Amazon Alexa and Alarm.com Skill - Enable secure commands.
For more information about the differences between the Alarm.com Skill and the Alarm.com Smart Home Skill, please see What are the differences between the Alarm.com Skill and the Smart Home Skill for Amazon Alexa?.