Command "show audit messages" shows no log entries however when we check the files /var/log/ns.log*, we see logs are there.

This is being worked by Citrix Engineering under the issue ID#709464
The fix is targeted in the below versions and the release date is yet to be available.

12.0-60.x 
12.1-50.x

Workaround:

Check the configuration for any syslog action with facility set to other than local0 and change it to local0

Example: 

Change: add audit syslogAction <syslog-action-name> <syslog ip> -logLevel ALL -logFacility LOCAL2 
To : add audit syslogAction <syslog-action-name> <syslog ip> -logLevel ALL -logFacility LOCAL0

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Problem Cause

Issue ID#709464  -  Output of 'show audit log" is not shown / visible if any syslog server is configured with facility other than local0

Example: add audit syslogAction <syslog-action-name> <syslog ip> -logLevel ALL -logFacility LOCAL2