SQL Server 2017

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create table #test (
id int,
val varchar(1),
v_date datetime
)

insert into #test values (1,'A',getdate())
insert into #test values (1,'B',dateadd(mi,5,getdate()))
insert into #test values (1,'C',dateadd(mi,10,getdate()))
        
insert into #test values (2,'A',getdate())
insert into #test values (2,'B',dateadd(mi,15,getdate()))
insert into #test values (2,'B',dateadd(mi,20,getdate()))
        
insert into #test values (3,'A',getdate())
insert into #test values (3,'A',dateadd(mi,21,getdate()))
insert into #test values (3,'B',dateadd(mi,25,getdate()))
insert into #test values (3,'C',dateadd(mi,30,getdate()))

insert into #test values (4,'B',dateadd(mi,35,getdate()))
insert into #test values (4,'B',dateadd(mi,36,getdate()))
insert into #test values (4,'B',dateadd(mi,37,getdate()))

insert into #test values (5,'Z',dateadd(mi,-10,getdate()))
        
        
select *
  from #test
        
--return the record associated with the last time the value changed

;with t1 as (
   select id,
          val,
          v_date,
          row_number() over(partition by id order by v_date asc) as rn
     from #test
), t2 as (

select t.id,
       t.val,
       t.v_date,
       row_number() over(partition by t.id order by t.v_date desc) as rn
  from t1 t
  left join t1 tt
    on t.id = tt.id
   and t.rn - 1 = tt.rn
  where t.val <> tt.val or tt.val is null
)

select *
  from t2

id	val	v_date
1	A	17/10/2019 15:10:07
1	B	17/10/2019 15:15:07
1	C	17/10/2019 15:20:07
2	A	17/10/2019 15:10:07
2	B	17/10/2019 15:25:07
2	B	17/10/2019 15:30:07
3	A	17/10/2019 15:10:07
3	A	17/10/2019 15:31:07
3	B	17/10/2019 15:35:07
3	C	17/10/2019 15:40:07
4	B	17/10/2019 15:45:07
4	B	17/10/2019 15:46:07
4	B	17/10/2019 15:47:07
5	Z	17/10/2019 15:00:07

id	val	v_date	rn
1	C	17/10/2019 15:20:07	1
1	B	17/10/2019 15:15:07	2
1	A	17/10/2019 15:10:07	3
2	B	17/10/2019 15:25:07	1
2	A	17/10/2019 15:10:07	2
3	C	17/10/2019 15:40:07	1
3	B	17/10/2019 15:35:07	2
3	A	17/10/2019 15:10:07	3
4	B	17/10/2019 15:45:07	1
5	Z	17/10/2019 15:00:07	1