Hello Jani Hämäläinen,
Welcome to the Microsoft Q&A forum.
You can extract audit log using ‘sys.fn_get_audit_file’ function when connection is established on synaspe dedicated sql pool or master databaase.
The issue you are facing is due to permissions. Please check the RBAC roles on the storage account. Providing "Storage Blob Contributor" to the managed identify of the workspace should resolve the issue.
The behavior of returning an empty set (because the file is skipped) is expected (as opposed to an error) when the file can't be read.
I hope this answers your question.