Database Server -> Security -> Audits
Database Server -> Security -> Server Audit Specifications
Make sure the audit file does not reach limit on 1) Number of Files 2) File Size
Error 33206 – SQL Server Audit Failed to Create the Audit File
SQL Server Audit failed to create the audit file ‘L:\ServerAudit\ServerAudit_EEFFB046-2AA7-4ACA-B91A-9F1FF5EF00EC.sqlaudit’. Make sure that the disk is not full and that the SQL Server service account has the required permissions to create and write to the file.