Auditing is disabled by default and the UI experience depends on the region to which the logical server is deployed. For instance, in UK South, the portal offers no options to manage auditing:
In North Europe, the portal allows Table Auditing (table-storage based) to be enabled on the SQL Data Warehouse scope, but it isn’t possible to enable Blob Auditing:
On top of that, Blob Auditing behaves differently when enabled on a logical server level in different regions. In locations that support Table Auditing, turning on Blob Auditing automatically enables it in all databases, including SQL Data Warehouses—and that’s expected. In other regions, Blob Auditing is not automatically enabled and has to be turned on programmatically by calling ARM REST API.
I imagine the plan is to support this across the board but it’s rolling out region by region.