Explanation
Box 1: Yes
Be sure that the destination is in the same region as your database and server.
Box 2: No
Box 3: Yes
https://docs.microsoft.com/en-us/azure/sql-database/sql-database-auditing Reference:
https://docs.microsoft.com/en-us/azure/sql-database/sql-database-auditing
https://docs.microsoft.com/en-us/previous-versions/azure/dn741340(v=azure.100)?redirectedfrom=MSDN