All it really means is, “Click Execute again, and you will be fine.”
If I had a dollar for every time I saw this error message in SQL Server Management Studio:
The error says:
The connection is broken and recovery is not possible. The connection is marked by the server as unrecoverable. No attempt was made to restore the connection. (Microsoft SQL Server)
That’s not what it means though. Here’s what it really means:
Click Execute again, and things will be fine.
It’s not that your network is broken, or that your IP address changed, or that there’s a firewall error. Something just happened behind the scenes where Azure decided your connection was idle and it needed to do something on the server side.
I wish Management Studio wouldn’t give in quite so easily. Just run your query again, and you’ll be fine.