sp_BlitzLock: return helpful message on Azure SQL DB instead of error

Fixes #3892 - Azure SQL DB does not have the system_health XE session,
so sp_BlitzLock would raise a severity-11 error. Now returns a
severity-0 informational message with instructions for creating a
database-scoped deadlock XE session or using a table target.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

Author: BrentOzar

sp_BlitzLock.sql

@@ -570,8 +570,31 @@ BEGIN
             AND   dxs.create_time IS NOT NULL
         )
         BEGIN
-            RAISERROR('A session with the name %s does not exist or is not currently active.', 11, 1, @EventSessionName) WITH NOWAIT;
-            RETURN;
+            IF @EventSessionName = N'system_health'
+            BEGIN
+                RAISERROR('
+The system_health extended events session is not available in Azure SQL DB.
+
+To use sp_BlitzLock in Azure SQL DB, you have two options:
+
+1. Create a database-scoped deadlock XE session, e.g.:
+
+   CREATE EVENT SESSION [deadlocks] ON DATABASE
+   ADD EVENT sqlserver.xml_deadlock_report
+   ADD TARGET package0.ring_buffer;
+   ALTER EVENT SESSION [deadlocks] ON DATABASE STATE = START;
+
+   Then call: EXEC sp_BlitzLock @EventSessionName = N''deadlocks'', @TargetSessionType = N''ring_buffer'';
+
+2. Log deadlock XML to a table and use the @TargetTableName parameter.
+', 0, 1) WITH NOWAIT;
+                RETURN;
+            END;
+            ELSE
+            BEGIN
+                RAISERROR('A session with the name %s does not exist or is not currently active.', 11, 1, @EventSessionName) WITH NOWAIT;
+                RETURN;
+            END;
         END;
     END;