Jonathan Kehayias explains when Extended Events will discard an event:
There are three specific session options that determine how large of an event an event session can actually collect, and one that controls how events are dropped when the buffer memory for the event session is full or under pressure. All four of these matter when we are talking about collecting events that could generate a large event payload and we want to minimize the chance that we could potentially drop an event.
Read on to see these settings in action.