Once you’ve created an Extended Events Session that is output to Azure Storage, you’ve done most of the work. The trick is really simple. Get the Azure Storage account set up with a Container. Create a Shared Access Signature (SAS) with the right permissions (rwl, read, write, list). Get the token from the SAS (it’s a long string). Use it, along with the path to the container to create a Database Scoped Credential. Create the session using the same path and container that you defined in the Credential. Done. You’ve got an Azure Extended Events session gathering data for you and outputting to a file in Azure Storage.
Now, what I’d like to tell you is that you can open up the Live Data window from SSMS. You can’t.
Grant does give us a workaround which kind of does the trick, but this is an obvious place where some additional developer care would be valuable.