Sorry, I miss read you question, unfortunately the conditional formatting rules only apply to the specific entity and rule can only be created with single entity connections.
As the Entity > Task link is a multiple entity connection, the conditional rule cannot be made there.
One thing you might be able to try would be to use the event daemon to automate the status of the task/s to modify a field on the Asset (such as the status but not limited to) and have a conditional format rule on that field?