For the number of days since the last backup of a single database:

Step 1

Create a new stored procedure using the following code

CREATE PROCEDURE [dbo].[spLastBackup]
	@DatabaseName	nvarchar(50)
AS
BEGIN
    SELECT DATEDIFF(d, MAX(b.backup_finish_date), getdate())
    FROM sys.sysdatabases s 
    LEFT OUTER JOIN msdb.dbo.backupset b
        ON b.database_name = s.name
    WHERE s.Name = @DatabaseName
END

Step 2

Add a new MSQL sensor

On your PRTG server, add a new MSQL sensor. Fill in the required fields and in the "SQL Expression" field enter

exec dbo.spLastBackup YOUR_DATABASE_NAME

In the channels tab select the value channel and enter Day as unit.

For the number of days since the last backup of all your databases:

Step 1

Create a new stored procedure using the following code

CREATE PROCEDURE [dbo].[spLastBackups]
AS
BEGIN
    SELECT  
        s.name AS Channel
	,DATEDIFF(d, MAX(b.backup_finish_date), getdate()) as Value
	,1 as IsInt
	,'Days' as Unit
    FROM sys.sysdatabases s 
    LEFT OUTER JOIN msdb.dbo.backupset b
        ON b.database_name = s.name
    GROUP BT s.name
END

Step 2

Add a new Custom XML sensor

On your PRTG server, add the Custom XML sensor SQLspXML to be downloaded from the Google Code Project

Fill in the required parameters in the parameter section of the sensor. This sensor will produce multiple channels, one for every database on your server