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We've bought dbx driver for Firebird and recently faced up problem with detecting lost connection. I realized that property Connected of TSQLConnection remains True although firebird was unexpectedly shut down.

How to detect the lost connection? Is it possible only while executing a statement by catching an exception?

When a database server shuts down, clients that are connected to it know nothing about it. That's why, to detect a connection loss, the only way is to try to perform any operation on a server. In case of error, an exception is generated which you should catch.
Please note that if a connection error occurs, dbExpress driver for InterBase and Firebird tries to reconnect (it is controlled by the Reconnect connection option). If it is possible, connection is established again.