If $f$ is 'smooth'*, then at a local maximum, all the directional derivatives will be zero.
* without getting distracted by technicalities like the precise condition because I think you understand this part perfectly well already
The usual definition of something like 'local sensitivity' is based on a first partial derivative with respect to the variable we're looking at.
If your definition of 'local sensitivity' is the usual one, then clearly they're all zero; indeed, that's entirely the point - in the very small, the function is insensitive to small changes in the variables.
It's telling you what you're asking it.
But they do change a tiny bit. Think about a quadratic in a single variable, one with a maximum point. What governs the rate at which that quadratic decreases from that maximum as $x$ moves away from its value there? If $f = ax^2 + bx+c$ (noting that $a$ must be negative), then $x^* = -\frac{b}{2a}$ is the argmax of $f$. Let $f^* = f(x^*)$. What's the value of $f$ at $x^*+dx$?
$f(x^*+dx) = f^* + \frac{df}{dx} + \frac{1}{2} \frac{d^2f}{dx^2}$ (in this particular case, exactly)
but at the maximum, $\frac{df}{dx}=0$, so
$f(x^*+dx) - f^* \approx \frac{1}{2} \frac{d^2f}{dx^2}|_{x^*} = a$
($a$ is negative, so this is showing a drop)
So it is with this problem. If you want to be able to compare the relative sizes of the changes, consider a Taylor expansion around the maximum, that is, something that describes $f$'s deviations from $f^*$, its value at the maximum, in terms of the values of the arguments that produce that maximum. Take as the argmax of $f$, $X^* = (X_1^*,...,X_n^*)$.
If the first order terms that govern the Taylor series are all zero, then the second derivative tells you about the behavior as you deviate from that maximum - how quickly $f$ decreases as you change each $X$ away from its value at the maximum.
So for example, if you're interested in how it changes as you change $X_1$, then $\frac{1}{2} \frac{\partial^2 f}{\partial X_1^2}|_{\mathbf{X}^*}$ tells you approximately the rate at which $f$ moves from $f^*$ as $X_1$ changes by a tiny amount from $X_1^*$.
