No logs for PDF applied with sensitivity label

We created sensitivity labels for files. It works well for MS Office documents (docx and xlsx) and PDF and we can apply them to files via Office application/online (docx and xlsx) or Adobe Acrobat (pdf). However, there was no activity log in Activity explorer for PDF with labelled contents. We searched it in Audit and there is no log as well for PDF. It did have logs for Office documents in Activity explorer and Audit, and I can see who applied label and read Office document in Activity explorer/Audit. 

Is there any additional setup need to enable log collection for PDF with sensitivity label? 

Thanks