Вроде там есть ответ: Understanding Event Loss with Extended Events
авторEvent Size Matters
Extended Events configures internal memory buffer space for an event session when it is initially started on the server, and the configuration of the event session options determines how large the memory buffers are, and the maximum size event that the event session can collect. While most events generated by Extended Events are relatively lightweight and small in binary format, specific events can generate a much larger payload of data that has to be buffered. The default event session options results in a session configuration with three internal memory buffers for holding events that are 1,441,587 bytes in size. The size and number of memory buffers for an event session can be found in the sys.dm_xe_sessions DMV while the session STATE=START on the server:


Notice that there are zero large buffers for each of the system defined event sessions, and the large buffer size is also set to zero, which is the default configuration. The large buffers for an event session are only created when the MAX_EVENT_SIZE session option is configured for the event session. The default value for this option is 0, which means that the largest event the event session can actually consume is the size of a regular memory buffer, which is 1,441,587 bytes. For certain events, like the ones that produce the showplan_xml, it is actually relatively easy to have an event size that is larger than the default memory buffer size for the event session. In these cases, the large event would actually be discarded by the event session since it cannot be placed into a memory buffer for dispatching.