SQL Server 2019

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CREATE TABLE dbo.x(ID int, ValidFrom datetime, ValidTo datetime, MyValue int);

INSERT dbo.x VALUES -- notice I inserted the first two rows in a different order
(23  ,'7/7/19 13:51','9/9/19 11:22',    0),
(23  ,'7/7/19 13:51','7/7/19 13:51',    0),
(23  ,'9/9/19 11:22','9/9/19 11:23',    0),
(23  ,'9/9/19 11:23','5/14/20 23:02',   0),
(23  ,'5/14/20 23:02','5/16/20 20:02',  0),
(23  ,'5/16/20 20:02','5/16/20 23:53',   0),
(23  ,'5/16/20 23:53','5/16/20 23:58',   0),
(23  ,'5/16/20 23:58','5/16/20 23:58',   0),
(23  ,'5/16/20 23:58','5/16/20 23:59',   0),
(23  ,'5/16/20 23:59','5/17/20 0:16',   0),
(23  ,'5/17/20 0:16','5/17/20 1:47',    0),
(23  ,'5/17/20 1:47','5/17/20 1:48',    0),
(23  ,'5/17/20 1:48','5/20/20 16:52',   0),
(23  ,'5/20/20 16:52','5/20/20 16:52',   0),
(23  ,'5/20/20 16:52','8/22/20 0:22',    0),
(23  ,'8/22/20 0:22','9/3/20 20:22',    0),
(23  ,'9/3/20 20:22','9/3/20 20:23',    0),
(23  ,'9/3/20 20:23','12/31/99 0:00',   6);

with data as
    (
     SELECT ID, ValidFrom, ValidTo, MyValue, 
       lag(MyValue,1)  over (/*Partition by id*/ order by validFrom) prevVal,
       lead(MyValue,1)  over (/*Partition by id*/ order by validFrom) nextVal
      FROM x WHERE ID = 23
    )
    select ID, ValidFrom, ValidTo, MyValue
    from data
    where (prevVal is not null and prevVal <> myValue) OR
    (nextVal is not null and nextVal <> myValue);

ID	ValidFrom	ValidTo	MyValue
23	2020-09-03 20:22:00.000	2020-09-03 20:23:00.000	0
23	2020-09-03 20:23:00.000	1999-12-31 00:00:00.000	6