You are only asked when the improper integral exists (that is, converges), not what the integral equals.
There are two senses in which the Improper Integral can exist:
$\;\text{1}$. Cauchy Principal Value: $\displaystyle\lim_{L\to\infty}\int_{-L}^L\frac{\sin(\pi x)}{|x|^a+1}\,\mathrm{d}x$
Since the integrand is odd, the integral is $0$ for any $L$, so the limit is $0$ for any $a$.
$\;\text{2}$. standard: $\displaystyle\lim_{L\to\infty}\int_0^L\frac{\sin(\pi x)}{|x|^a+1}\,\mathrm{d}x+\lim_{L\to\infty}\int_{-L}^0\frac{\sin(\pi x)}{|x|^a+1}\,\mathrm{d}x$
Since the integrand is odd, the integrals above are negatives of each other. Therefore, if one of the limits exists, both do.
Define $ b_n=(-1)^n\int_n^{n+1}\frac{\sin(\pi x)}{|x|^a+1}\,\mathrm{d}x=\int_n^{n+1}\frac{|\sin(\pi x)|}{|x|^a+1}\,\mathrm{d}x\lt\frac1{n^a+1}\tag{1} $ then $ \sum_{k=0}^{n-1}(-1)^kb_k=\int_0^n\frac{\sin(\pi x)}{|x|^a+1}\,\mathrm{d}x\tag{2} $ Note that $ \begin{align} b_n-b_{n+1} &=\int_n^{n+1}|\sin(\pi x)|\left(\frac{1}{|x|^a+1}-\frac{1}{|x+1|^a+1}\right)\,\mathrm{d}x\\ &\gtreqless0\text{ when }a\gtreqless0\tag{3} \end{align} $ When $a\le0$ the terms of the series in $(2)$ do not tend to $0$, so the series, and therefore the improper integral, does not converge.
When $a\gt0$, $b_n$ is a decreasing sequence, tending to $0$, and so by the Dirichlet Test, the series in $(2)$ converges. This handles the case for $L=n$, an integer. However, for $x\in[0,1]$ $ \int_n^{n+x}\frac{|\sin(\pi x)|}{|x|^a+1}\,\mathrm{d}x\lt\frac1{n^a+1}\tag{4} $ thus the limit is true even when $L$ is not restricted to integers.
Summary
The Cauchy Principal Value of the improper integral exists for all $a$.
The standard improper integral exists only when $a>0$.
When the improper integral exists, its value is $0$ because the integrand is odd.