If you attempt to authenticate on a mongos node with auditing enabled, the authentication attempt will fail. The logs will indicate an error in authentication:

2015-05-07T05:27:20.715+0000 I ACCESS   [conn2] SCRAM-SHA-1 authentication failed for user on admin from client 127.0.0.1 ; BadValue "impersonatedUsers" is not a valid argument to usersInfo

There does not appear to be any further information in higher verbosity logs.

The audit log just indicates a 18 on the authentication attempt

Additionally, other security or authentication operations are not available is auditing if enabled. Trying to create a user gives a similar error in the shell:

mongos> db.createUser( { user : "user", pwd : "pword", roles : [ { role : "readWrite", db : "test" } ] } )
2015-05-07T05:48:00.359+0000 E QUERY    Error: couldn't add user: "impersonatedUsers" is not a valid argument to rolesInfo
    at Error (<anonymous>)
    at DB.createUser (src/mongo/shell/db.js:1066:11)
    at (shell):1:4 at src/mongo/shell/db.js:1066

Note : it is not necessary to enable --keyFile for this to fail, the authentication attempts will give the above error even when no authentication options are given in the config file/command line options