When using XE Profiler in SSMS 17.3, the 'Database Name' column shows as either NULL or an empty string
I saw the same thing you saw. I went into the actual Properties of the Extended Event and noticed that 'collect database_name' was not checked.  I checked that box and restarted the extended event session and the database_name showed up. (I had to go into each 'selected event' and check the box for 'collect database name')

Note:
The XE Profiler extended events are actually under the regular Extended Events node.  They are prefixed with QuickSession - That's where you change the properties. Apparently, the nodes under XE Profiler are simple shortcuts.