The system_health Extended Events session is incredibly useful. Further, it's running, by default, in every server you have under management that is 2008 or greater. Things are not the same in Azure though.
system_health in Azure SQL Database
If you look at the documentation for system_health, it shows that it's applicable to Azure SQL Database. However, if you try to run the example query, it won't work. This is because the implementation of Extended Events inside Azure SQL Database is a little different. Instead, you need to use the Azure SQL Database equivalent system views to create the same query like this: