I cannot reproduce the issue. First I tested that SQL Server and SQL Azure behave both the same for implicit transactions with the following script.
-- Transact-SQL.
go
-- Preparations.
SET NOCOUNT ON;
SET IMPLICIT_TRANSACTIONS OFF;
go
WHILE (@@TranCount > 0) COMMIT TRANSACTION;
go
IF (OBJECT_ID(N'dbo.t1',N'U') IS NOT NULL) DROP TABLE dbo.t1;
go
CREATE table dbo.t1 (a int);
go
PRINT N'-------- [Test A] ---- OFF ----';
PRINT N'[A.01] Now, SET IMPLICIT_TRANSACTIONS OFF.';
PRINT N'[A.02] @@TranCount, at start, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
SET IMPLICIT_TRANSACTIONS OFF;
go
INSERT INTO dbo.t1 VALUES (11);
INSERT INTO dbo.t1 VALUES (12);
PRINT N'[A.03] @@TranCount, after INSERTs, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
go
PRINT N' ';
PRINT N'-------- [Test B] ---- ON ----';
PRINT N'[B.01] Now, SET IMPLICIT_TRANSACTIONS ON.';
PRINT N'[B.02] @@TranCount, at start, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
SET IMPLICIT_TRANSACTIONS ON;
go
INSERT INTO dbo.t1 VALUES (21);
INSERT INTO dbo.t1 VALUES (22);
PRINT N'[B.03] @@TranCount, after INSERTs, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
go
COMMIT TRANSACTION;
PRINT N'[B.04] @@TranCount, after COMMIT, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
go
PRINT N' ';
PRINT N'-------- [Test C] ---- ON, then BEGIN TRAN ----';
PRINT N'[C.01] Now, SET IMPLICIT_TRANSACTIONS ON.';
PRINT N'[C.02] @@TranCount, at start, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
SET IMPLICIT_TRANSACTIONS ON;
go
BEGIN TRANSACTION;
INSERT INTO dbo.t1 VALUES (31);
INSERT INTO dbo.t1 VALUES (32);
PRINT N'[C.03] @@TranCount, after INSERTs, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
go
COMMIT TRANSACTION;
PRINT N'[C.04] @@TranCount, after a COMMIT, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
COMMIT TRANSACTION;
PRINT N'[C.05] @@TranCount, after another COMMIT, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
go
PRINT N' ';
PRINT N'-------- [Test D] ---- ON, INSERT, BEGIN TRAN, INSERT ----';
PRINT N'[D.01] Now, SET IMPLICIT_TRANSACTIONS ON.';
PRINT N'[D.02] @@TranCount, at start, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
SET IMPLICIT_TRANSACTIONS ON;
go
INSERT INTO dbo.t1 VALUES (41);
BEGIN TRANSACTION;
INSERT INTO dbo.t1 VALUES (42);
PRINT N'[D.03] @@TranCount, after INSERTs, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
go
COMMIT TRANSACTION;
PRINT N'[D.04] @@TranCount, after INSERTs, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
COMMIT TRANSACTION;
PRINT N'[D.05] @@TranCount, after INSERTs, == ' + CAST(@@TRANCOUNT AS NVARCHAR(10));
go
-- Clean up.
SET IMPLICIT_TRANSACTIONS OFF;
go
WHILE (@@TranCount > 0) COMMIT TRANSACTION;
go
DROP TABLE dbo.t1;
go
The following results were the same on both SQL Server and Azure SQL Database (DTU model).
-------- [Test A] ---- OFF ----
[A.01] Now, SET IMPLICIT_TRANSACTIONS OFF.
[A.02] @@TranCount, at start, == 0
[A.03] @@TranCount, after INSERTs, == 0
-------- [Test B] ---- ON ----
[B.01] Now, SET IMPLICIT_TRANSACTIONS ON.
[B.02] @@TranCount, at start, == 0
[B.03] @@TranCount, after INSERTs, == 1
[B.04] @@TranCount, after COMMIT, == 0
-------- [Test C] ---- ON, then BEGIN TRAN ----
[C.01] Now, SET IMPLICIT_TRANSACTIONS ON.
[C.02] @@TranCount, at start, == 0
[C.03] @@TranCount, after INSERTs, == 2
[C.04] @@TranCount, after a COMMIT, == 1
[C.05] @@TranCount, after another COMMIT, == 0
-------- [Test D] ---- ON, INSERT, BEGIN TRAN, INSERT ----
[D.01] Now, SET IMPLICIT_TRANSACTIONS ON.
[D.02] @@TranCount, at start, == 0
[D.03] @@TranCount, after INSERTs, == 2
[D.04] @@TranCount, after INSERTs, == 1
[D.05] @@TranCount, after INSERTs, == 0
Then I configured implicit transactions as default on SSMS, commented the SET IMPLICIT_TRANSACTIONS statements, and on Tests B, C and D, I received the same results.
I tested this with SSMS 17.8.1. Which version of SSMS you are using? Please download the latest version from here.