Brent Ozar has a public service announcement:
In Azure SQL DB, you set max degrees of parallelism at the database level. You right-click on the database, go into properties, and set the MAXDOP number.
I say “you” because it really is “you” – this is on you, bucko. Microsoft’s magical self-tuning database doesn’t do this for you.
And where this backfires, badly, is that Azure SQL DB has much, much lower caps on the maximum number of worker threads your database can consume before it gets cut off.
Click through to see what kind of error message you get and just how low these limits are.