how to add an extended events tracking session to SSAS?
The target is where the event data is stored.  For example, to write the data to a file use the event_file target type.  To create an extended event and overcome the error on the Data Storage page you're seeing, a target will need to be selected.  There's a wide range of events and exactly what activities you want to track will determine what events you'll want to use.  The script below is an example that creates an extended event that is saved to a local file.  Once this is created you can view the event data by double-clicking on the file, and it will open in SSMS.  This particular extended event tracks the QueryBegin event, which will records queries against the SSAS database.  By default, this will include fields such as the time the query began, the query text, and the NT User Name of of the account that submitted the query.  The default values were left for options such as the max_file_size and maxMemory properties, and of course you'll want to adjust these as necessary.

&lt;Create xmlns="http://schemas.microsoft.com/analysisservices/2003/engine"&gt;
  &lt;ObjectDefinition&gt;
    &lt;Trace&gt;
      &lt;ID&gt;XE_Query_Test&lt;/ID&gt;
      &lt;Name&gt;XE_Query_Test&lt;/Name&gt;
      &lt;XEvent xmlns="http://schemas.microsoft.com/analysisservices/2011/engine/300/300"&gt;
        &lt;event_session name="XE_Query_Test" dispatchLatency="0" maxEventSize="0" maxMemory="4" memoryPartition="none" eventRetentionMode="AllowSingleEventLoss" trackCausality="true" xmlns="http://schemas.microsoft.com/analysisservices/2003/engine"&gt;
          &lt;event package="AS" name="QueryBegin" /&gt;
          &lt;target package="package0" name="event_file"&gt;
            &lt;parameter name="filename" value="C:\Test\XE_Query_Test.xel" /&gt;
            &lt;parameter name="max_file_size" value="4096" /&gt;
            &lt;parameter name="max_rollover_files" value="10" /&gt;
            &lt;parameter name="increment" value="1024" /&gt;
          &lt;/target&gt;
        &lt;/event_session&gt;
      &lt;/XEvent&gt;
    &lt;/Trace&gt;
  &lt;/ObjectDefinition&gt;
&lt;/Create&gt;