Related to the tutorial project, also a set of example files is available. You can use these files to run the messages in the tutorial project.
You can download the files here: Tutorial - Connectivity Files.zip.
Extract the files to a folder in your file system. Make sure, you define this folder as the working path for the 'Azure file storage' connector.
Note
Also check the other folders as defined for the 'Azure file storage' connector, like Archive path and Error path. Make sure, these folders exist in your file system.