Arun Sirpal compares on-prem extended events to what’s available in Azure SQL Database:
There are 22 actions and 261 events. Naturally less than your local based SQL Servers, for example on my local 2014 machine running the above query returned 50 actions and 284 events.
There are a few subtle differences and a couple not-so-subtle differences, so it’s worth digging into if you plan to spin up an Azure SQL Database database.