When working with the AzureRM PowerShell module, remember the module is constantly being updated to take advantage of new features added to Azure. To check the version of the AzureRM module currently installed on your system, use the following command.
Get-Module AzureRM -List | Select-Object Name, Version, Path
The screenshot below shows I am running version 1.4.0 and the output of Get-AzureRmSqlDatabaseAuditingPolicy command-let.
Next, I install the latest AzureRM module.
After the install is complete, I rerun the same commands. The screenshot below shows that I am now running version 3.8.0 followed by the same Get-AzureRmSqlDatabaseAuditingPolicy command-let.
Notice the difference in the output? There are several differences, but in the newer version there properties for AuditAction and AuditActionGroup which were just recently added to Azure.
For more information on installing the AzureRM module, as well as running multiple versions side-by-side, follow these links.