SQL Server 2012 Intellisense Support for Extended Events
I haven't come across Intellisense support for XEs in SSMS yet. It will tell you when you have an error in your syntax (my common mistake was omitting ON SERVER). SQL Prompt 5 (latest version) has support for the control commands (CREATE EVENT SESSION ... ALTER EVENT SESSION, etc.) but not for the packages and events yet. For now I'd recommend just sticking with the metadata queries from Jonathan Kehayias to get a sense for the packages, events, predicates, maps, etc.

I think this is probably the case because Extended Events are still a work in progress and are undergoing such rapid change and development that more effort would have to be put into generating the Intellisense XML than they'd like to put into it until it's stabilized (from a feature perspective, not a reliability perspective).