Save the sql_server_split_function.sql file in the opened SQL Server database by pressing the F5 key once. From now on you will be able to use the function called dbo.SplitMyStrings from anywhere.

When calling the cross database macro "split_part", dbt throws an error: ('42000', "[42000] [Microsoft][ODBC Driver 18 for SQL Server][SQL Server]'split_part' is not a recognized built-in function ...