Great article and many thanks for describing this feature.
I followed the example, creating a new Session with the parameters you defined and so forth, but I cannot view it live. I get an SSMS error box that states "The storage failed to initialize using the provided parameters. The Extended Events session named "HighReadQueries" could not be found. Make sure the session exists and is started. (Microsoft SQL Server, Error: 25728)"
According to what I discovered in a quick Google search was that no one seems to have encountered this problem. 😀 Natch.
So, I opened the tree under HighReadQueries, right-clicked on the file ("package0.event_file" in my case), selected View Target Data, and got a different error: " Cannot view the function "fn_MSXe_read_event_stream", because it does not exist or you do not have permission. (Microsoft SQL Server, Error: 15151)"
Because I am working with the 2014 version of SSMS and SQL Server, I can only assume that I have to rectify a permissions issue. Have you run across this kind of a problem before? If I get it solved, I will post the resolution here, but that may not happen for a while since there is no current business need to spend a lot of time on this.