all/all/all is not a valid set of parameters (see the source for sp_audit for a detailed analysis of valid tuples).
If you want to enable all auditing options then you'll have to loop through a list of logins and/or role names and issue: sp_audit 'all',<login_or_role_name>,'all',<desired_setting>
Keep in mind that in a real/live dataserver you are not going to want to enable all auditing options for all logins/roles, otherwise you could easily bring your dataserver to its knees with all the overhead processing required to capture the huge volume of audited operations.