How to enable an existing Extended Events Session or add a new Session?

Hi,
I am using Management Studio version 12.0.2000.8 and I have noticed that Extended Events for Azure SQL DB have been added to it.
However, I can't add a new session because the option is grayed out in the dropdown menu. Also, the existing sessions return an error when I attempt to start them. Here is one example of starting
azure_xe_query session:
Failed to start event session 'azure_xe_query' because required credential for writing session output to Azure blob is missing. (Microsoft SQL Server, Error: 25739)
I have an automated export assigned to my Azure database, so the database must be using a (blob) storage account. Is this the same storage account which Extended Events are trying to reach? So far, my best guess is that the storage key should be provided
while starting the session. This, obviously can't be done using the GUI.
The only thing I managed to google about this topic is
this blogpost from May.
Has anybody else tried to profile their Azure DB using Extended Events? Is this feature still in development?
Thank you,
Filip

Hi Bob, thank you for replying.
You mentioned 12 pre-configured event sessions. May I ask, which version of Management Studio were you using? For some reason, I only see 5 of them:
azure_xe_errors_warnings
azure_xe_object_ddl
azure_xe_query
azure_xe_query_detail
azure_xe_waits
And each fires an error just like the one in the first post. At the moment, viewing live data from 'xe_query' session would be enough for me. If I could only start it somehow ...
I should probably mention I have tried to do this on a Basic and a Standard service tier. Not yet with a Premium.
Since there is probably nothing we can do at the moment, I'm going to mark your reply as an answer. Thnx again.

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