If I remember correctly, the AI actually does build a new MCV once its Construction Yard is destroyed. However, if you were implying the AI should build new MCVs even before their Construction Yard gets destroyed, that (even though it is possible), isn't a very good idea. The thing is that unlike with human players, anything the AI produces is produced at any factory it has at the same time. So this means that if the AI has 4 War Factories and it produces a Medium Tank, as soon as it's finished a Medium Tank will exit from all 4 of the War Factories (so 4 Medium Tanks will have been produced at the same time). So like you've probably guessed, this works exactly the same with Construction Yards... If the AI owns more than 1 Construction Yard, it will always build as many of the same buildings at the same time as the number of Construction Yards it has.

Thanks for your answer, but it doesn't help. You said when the AI construction yard is destroyed, they build another. Well, I've played vanilla TS many times and I have never seen that. The same with DTA, in previous versions and even in the last one.
What do I need to do to activate that feature? Is there an option to activate it? Or you are wrong?

I said "if I remember correctly", so I might be wrong... I'll look into it however, but I'm unsure whether there's a good way to implement it.