Xquery - a surprising difference between Azure SQL Database and Azure Managed Instance with Quotes

I'm moving processes into Azure.  Given that it's me, probably poorly. But I'm using this as an opportunity to improve things where possible, specifically looking at moving some processes to Azure SQL Database. 

Why? I love them for several reasons: 

• Simpler
• Cheaper
• Quick to create
• Quick to modify the instance (seconds, not hours)

Yes, there are still gotchas (Elastic Jobs, no cross-db queries, no CLR, can't replicate from it), but overall? Soooo nice.

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I was trying to get some Xquery parsing working, and ran into a weird error:

"CONDITIONAL failed because the following SET options have incorrect settings: 'QUOTED_IDENTIFIER'"

Weird.  Doubly so because this code has worked on-prem for a decade, and the Managed Instance is running it now.  And because the SP specifically has a SET QUOTED_IDENTIFIER ON; 

Okay, let's take alook online.

https://stackoverflow.com/questions/47091181/jobs-failing-due-to-incorrect-settings-quoted-identifier

Yeah, that's the problem.  And indeed, my code has similar xquery to the example:

set @myval = @xml.[value]('(*/A[B="C"]/D[E="F" or G="H"]/I)[1]', 'varchar (35)');

What's the fix? Use two single-quotes instead of the double quote.

set @myval = @xml.[value]('(*/A[B=''C'']/D[E=''F'' or G=''H'']/I)[1]', 'varchar (35)');