How It Works: XEL Display in SQL Server Management Studio (SSMS) Row Limit
This is a simple issue but if you don't expect the behavior it can surprise you.
The grid, used by SSMS, is limited to a maximum number of rows, that can be displayed, of 1 million.
Note: There is no warning dialog or flashing toolbar.
Shown in the figure below is the display vs event totals.
The design is an internal, display filter always including TOP 1000000.
You may adjust other filter criteria, such as the time rage, event type, and up to the first 1 million rows meeting the filter criteria are displayed.
Bob Dorr - Principal SQL Server Escalation Engineer