I am getting below error in SQL Watch Job SQLWATCH-LOGGER-PERFORMANCE at step no 3 (i.e. usp_sqlwatch_logger_xes_blockers).

Error: Executed as user: NT SERVICE\SQLSERVERAGENT. The Log file name “(null)” is invalid. Verify that the file exists and that the SQL Server service account has access to it. [SQLSTATE 42000] (Error 25715). The step failed.

On getting above error I have tried to change the Log on as: from NT Service\SQLAgent$SQL2016 to Local system Account, I also tried on different machines having SQL2016 Developer Edition and Enterprise Edition with SP3-CU1, but still getting same error.

Have you deployed the extended events sessions?

Yes it is on, please refer attached screenshot for the error