I think the problem you are running into is that the SELECT * INTO #Table statement is doing double duty as both a table creation and initial population statement.

I am working on a DB project for school and am almost ready to create my tables. I am unsure as to when I turn on referential integrity. Do I create the tables, do my initial data import, and then ...

You also don't have to specify a name for your history table, but anonymous tables make me uncomfortable so I've assigned the name SalesOrderHistorical to my table. In Azure SQL Database you can also ...