declare @t table (ID_WT int, ID_U int, DT_B datetime, DT_E datetime);
insert into @t
values
(345318621, 0, '2018-09-27T05:12:37.000', '2018-09-27T05:12:47.000'),
(345319161, 0, '2018-09-27T05:11:18.000', '2018-09-27T05:13:30.000'),
(345318991, 0, '2018-09-27T06:09:11.000', '2018-09-27T06:11:36.000'),
(345316881, 0, '2018-09-27T06:08:13.000', '2018-09-27T06:10:27.000'),
(345319031, 0, '2018-09-27T06:07:32.000', '2018-09-27T06:10:19.000'),
(345318622, 1, '2018-09-28T05:12:37.000', '2018-09-28T05:12:47.000'),
(345319162, 1, '2018-09-28T05:11:18.000', '2018-09-28T05:13:30.000'),
(345318992, 1, '2018-09-28T05:09:11.000', '2018-09-28T05:11:36.000'),
(345316882, 1, '2018-09-28T05:08:13.000', '2018-09-28T05:10:27.000'),
(345319032, 1, '2018-09-28T05:07:32.000', '2018-09-28T05:10:19.000'),
(345316883, 0, '2018-09-29T05:08:13.000', '2018-09-29T05:10:27.000'),
(345316884, 0, '2018-09-30T05:08:13.000', '2018-09-30T05:10:27.000');

with a as
(
 select
  t.*, row_number() over (partition by t.ID_U order by t.DT_B) as rn
 from
  @t t
 where
  not exists(select 1 from @t where ID_U = t.ID_U and DT_B < t.DT_B and t.DT_B between DT_B and DT_E)
),
b as
(
 select
  t.*, row_number() over (partition by t.ID_U order by t.DT_E) as rn
 from
  @t t
 where
  not exists(select 1 from @t where ID_U = t.ID_U and DT_E > t.DT_E and t.DT_E between DT_B and DT_E)
)
select
 a.ID_U, a.DT_B, b.DT_E, t.ID_WT, dense_rank() over (partition by a.ID_U order by a.DT_B) as ID_Period, datediff(second, a.DT_B, b.DT_E) as Duration
from
 a join
 b on b.ID_U = a.ID_U and b.rn = a.rn join
 @t t on t.ID_U = a.ID_U and t.DT_B <= b.DT_E and t.DT_E >= a.DT_B;

declare @t table (ID_WT int, ID_U int, DT_B datetime, DT_E datetime);
insert into @t
values
(345318621, 0, '2018-09-27T05:12:37.000', '2018-09-27T05:12:47.000'),
(345319161, 0, '2018-09-27T05:11:18.000', '2018-09-27T05:13:30.000'),
(345318991, 0, '2018-09-27T06:09:11.000', '2018-09-27T06:11:36.000'),
(345316881, 0, '2018-09-27T06:08:13.000', '2018-09-27T06:10:27.000'),
(345319031, 0, '2018-09-27T06:07:32.000', '2018-09-27T06:10:19.000'),
(345319031, 0, '2018-09-27T06:07:32.000', '2018-09-27T06:10:19.000');

create table dbo.t (ID_WT int, ID_U int, DT_B datetime, DT_E datetime);

insert into dbo.t
select top (1000000)
 t.ID_WT, t.ID_U, dateadd(day, c.rn - 1, t.DT_B), dateadd(day, c.rn - 1, t.DT_E)
from
 (
  select top (200000)
   row_number() over (order by (select 1))
  from
   master.dbo.spt_values a cross join
   master.dbo.spt_values b
 ) c(rn) cross join
 @t t

create clustered index IX_t on dbo.t (ID_U, DT_B, DT_E);
go

declare @ID_U int, @DT_B datetime, @DT_E datetime;

set statistics xml, time on;

with a as
(
 select
  x.ID_WT, x.ID_U, x.DT_B, row_number() over (partition by x.ID_U order by x.DT_B) as rn
 from
  (
   select distinct
    t.ID_WT, t.ID_U, t.DT_B
   from
    dbo.t t
   where
    not exists(select 1 from dbo.t where ID_U = t.ID_U and DT_B < t.DT_B and t.DT_B between DT_B and DT_E)
  ) x
),
b as
(
 select
  x.ID_WT, x.ID_U, x.DT_E, row_number() over (partition by x.ID_U order by x.DT_E) as rn
 from
  (
   select distinct
    t.ID_WT, t.ID_U, t.DT_E
   from
    dbo.t t
   where
    not exists(select 1 from dbo.t where ID_U = t.ID_U and DT_E > t.DT_E and t.DT_E between DT_B and DT_E)
  ) x
)
select
 @ID_U = a.ID_U, @DT_B = a.DT_B, @DT_E = b.DT_E
from
 a join
 b on b.ID_U = a.ID_U and b.rn = a.rn
option
 (maxdop 1);

with
-- Поиск начал непрерывных интервалов:
wh_with_flag as
    (
      select * 
             -- Ключевой момент запроса:
           , case 
               when DT_B <= max(DT_E) over(partition by ID_U
                                               order by DT_B, DT_E 
                                                rows between unbounded preceding
                                                         and 1 preceding) 
                 then 0 
               else 1 
             end as sog 
        from dbo.t
    )
--
-- Идентификация строк, образующих непрерывные интервалы:
, wh_with_group as
    (
      select *
           -- Ключевой момент запроса:
           , sum(sog) over(partition by ID_U order by DT_B, DT_E) as grp_id 
        from wh_with_flag
    )
--
-- "Слияние" строк в интервалы, получение конечных точек непрерывных интервалов:
, wh_ as
    (
      select ID_U, grp_id, min(DT_B) as min_DT_B, max(DT_E) as max_DT_E
        from wh_with_group
       group by ID_U, grp_id
)
--
-- Визуализация результата манипуляций:
select
 @ID_U = ID_U, @DT_B = min_DT_B, @DT_E = max_DT_E
  from wh_
option
 (maxdop 1);

set statistics xml, time off;
go

drop table dbo.t;
go