Here’s the relevant text in the message box, to facilitate searching:
The storage failed to initialize using the provided parameters. (Microsoft.SqlServer.XEventStorage)
Cannot view the function ‘fn_MSXe_read_event_stream’, because it does not exist or you do not have permission. (Microsoft SQL Server, Error: 15151)
Read on for the solution, and if you’re interested in changing that behavior, vote up the UserVoice submission.