You will have to configure Auditing for SQL DB from Auditing page at DB or Server level. From Diag, it's not supported.
https://learn.microsoft.com/en-us/azure/azure-monitor/essentials/diagnostic-settings
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I have setup an Diagnostic setting for an SQL Database to achieve SQL Security Audit Event log into storage account
but not able to see any container related to SQL Security Audit Event.
Am I missing some configuration or setting? Need help regarding the same.
You will have to configure Auditing for SQL DB from Auditing page at DB or Server level. From Diag, it's not supported.
https://learn.microsoft.com/en-us/azure/azure-monitor/essentials/diagnostic-settings