@Alaa Elrayes, Thanks for posting in Q&A.
From your description, I know you want to enable Object Access Audit Removable Storage via Intune policy but take no effect.
Based on the information you provided, I noticed that you assign this policy to both device group and user group, but Intune is not recommended that assigning one policy to both device group and user group at the same time, because it will make policy failed to work, and based on my testing, when I create a policy with the same setting as you provided and assign to user group, it apply successfully on my device. So, it is suggested that you assign the policy to user group or device group and see if the policy can work properly.
Hope above information can help you, if there is any update, feel free to let me know.
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