ReSharper Live Templates only work in file formats supported by ReSharper, because Live Templates rely on other ReSharper features that languages must understand, such as automatic formatting, name reduction, and auto-import and domain accessibility. In addition, Live Templates are inserted by selecting an item from the ReSharper code completion windows - if there is no code completion, there can be no live templates.
Since ReSharper is not aware of .sql files, you are not getting Live Templates.
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