Can you expand the "File Path" column? It appears to be attempting to locate the file on a network share, though that doesn't look quite right in the screenshot. In any case, we may need to bring this to the Premiere forum as it appears Premiere may not be providing Audition the correct file location, but we can troubleshoot it further here.
Here is the full path.
dfs\UsrData\JFRIV22\My Documents\Adobe\Premiere Pro\6.0\20131016132752 Audio Extracted_7.wav
That is a network share.
Did not find anywhere to change it.
Moved this to the Premiere Pro forum, as it appears Premiere is either not placing this in the correct location, or there is something amiss with the command to open in Audition.
One quick test: If you use the File > Open... command to navigate to that shared location, do you see that file listed? If so, are you able to open it through this dialog?
I found the correct place. But there is something strange...
Two folder have the same name.
Subfolders inside are differents so I tried to copy these subfolder in the same adobe to have two identical folder. Does not work.
But, all the files (clip edit) created by audition are saved there instead of being saved next to my premiere project file.
I found my files but still don't know why they are saved there.
An other question: Is the file is created and saved by Premiere or by Audition?
One of those is local to your user account, the other is a global directory, shared to all users.
And in this case, Premiere is likely the application writing the files to this location. It sounds like your user account may be setup as a network-based roaming profile. This should still be okay, though depending on how your sessions and media are stored, it may decrease performance.
When you Edit a Clip or Sequence from Premiere, Premiere performs a Render and Replace operation, generating new audio files. After the new file is written to disk, Premiere instructs Audition to launch and open the file. The path where these files are written should be the same folder in which your Premiere Pro project file is located.
In this case, Audition does not like the path it is being provided. Now that we know the material exists on disk, we need to determine why. If you haven't already done so, make sure you're updated to the latest build of Audition for your release. (Audition CS6 should be running v5.0.2.) While there was a bug at one point in the past where files or directories with multiple simultaneous spaces would not open correctly, I'm more inclined to look at the path first. The screenshot you attached in the first post shows the start of the path as \cifss which I would not expect for a local path nor a mapped network drive.
Something new for me.
Since I found my file, I can go around my problem, but it's still not solved.