BizTalk does not have a built-in SQL server, but it does have a number of SQL databases that will be setup on SQL server of your choice when you
configure the platform.
It is ill-advised to make any changes to the out-of-the-box databases, and instead if you want any custom logic to store data, then this should be done in your
own custom database. Ideally you should run this on a separate
SQL instance.
From your description, it is worth noting that BizTalk has a tracking database, which can be set to automatically save all messages sent and received into a database along with meta-data, for the purposes of support. In a busy environment
this database can get very large, so it is advisable to only track what is necessary for your needs.
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