Yes correct checpoint is for writeStream + display. When you don't specify in display it use some default location.

Have you installed latest version of com.microsoft.azure:azure-eventhubs-spark library?

I am including also connection to event hub which I am using:

ehConf = {}
ehConf['eventhubs.connectionString'] = sc._jvm.org.apache.spark.eventhubs.EventHubsUtils.encrypt("Endpoint=sb://sla-stream.servicebus.windows.net/;SharedAccessKeyName=xxxx;SharedAccessKey=xxxxx;EntityPath=xxxx")