Yes its mixed mode. The Trace log is useful, as there are some connections happening for that user. If I connect before starting the SqlDependency - it works; after the...

Great tip about system_health.  I didn't realise so much more information was recorded.

I have extracted the xml_deadlock_report events - and the results are unexpected. And probably much easier to fix.

Thanks...

The errors I am getting are all like this:

Transaction (Process ID 81) was deadlocked on lock resources with another process and has been chosen as the deadlock victim. Rerun the...

Thanks everyone.

As I'm developing under a deadline, I went with the first answer.  And I'm developing with limited data, and we are expecting no more than a few thousand at...

Brilliant.  Great solution

I knew I'd come across this before, but "gaps and islands" are terms I'd forgotten , so I can now search properly for this type of problem.

Yes Jeff your new version works in Azure just fine

SELECT TOP 11000 
        N = IDENTITY(INT,1,1)
   INTO dbo.Tally
...

A minor point I came across today - your "favourite way" to produce the Tally table does not work in an Azure database:

SELECT TOP 11000 --equates to...

I've figured it out - using the MERGE statement instead of INSERT

DECLARE @CrossRef TABLE (
    MyTable_ID INT,
    C_C VARCHAR(10)
    );
DECLARE @MyData TABLE (    
    ID...

The help on the OUTPUT clause seems to suggest that data not deleted can be accessed in the DELETED table 

https://docs.microsoft.com/en-us/sql/t-sql/queries/output-clause-transact-sql?view=sql-server-2017#j-using-output-and-output-into-in-a-single-statement

I want to find out...

@joe
[What you are asking us to help you do is a design flaw called...