To clarify, think the original question is asking about Linux auditing which I don't think is fully implemented in Gaia, or at least exposed or documented for the end user. See reference here; Suse Doc: Security Guide - Understanding Linux Audit. The facility is there as is the file /var/log/audit/audit.log.
Let's not confuse this with audit logs from the Check Point management server, for instance this network object was added, this security policy rule is changed, etc. and security logs from the gateways connected to the management server. These are included by default when you use Log Exporter.
Back to the original question if you want to receive auditd events via syslog, there are some configuration files in /etc/audit such as audit.rules and auditd.conf, but don't think we have plugins for sending these via syslog. Could be wrong. Would have to check with a Gaia expert if you need a definitive answer.
Device syslog logs can of course be set up using the Gaia web UI or the clish CLI.