Unable to Watch Live Data on Extended Events Session
I found the problem.  My login had a different default database than the master database.  When I changed my default database to master, the error went away, and I was able to Watch Live Data on the extended event sessions.

To change the default database, in SSMS, I expanded the server, Security, Logins.  I right-clicked on my user credentials. On the Login Properties page for my user, I changed "Default database" to master.  The error went away when I closed and reopened the connection in the SSMS Object Explorer.

EDIT 2018-12-11

On the feedback link for this issue, Karl Fasick posted a likely solution:


  Object Explorer isn't connected to the master database...
  To fix - disconnect Object Explorer - Reconnect, but go to Connection
  Properties and explicitly choose master.