If you need just the Month column from EVENT_DATE, then try this approach:
select EVENT_DATE, EVENT_DATA, COMBINED_EVENT_KEY,
case
when EVENT_DATE < dateadd(month, -12, getdate()) then 'HISTORICAL'
when EVENT_DATE < dateadd(month, -11, getdate()) then '1'
when EVENT_DATE < dateadd(month, -10, getdate()) then '2'
when EVENT_DATE < dateadd(month, -9, getdate()) then '3'
when EVENT_DATE < dateadd(month, -8, getdate()) then '4'
when EVENT_DATE < dateadd(month, -7, getdate()) then '5'
when EVENT_DATE < dateadd(month, -6, getdate()) then '6'
when EVENT_DATE < dateadd(month, -5, getdate()) then '7'
when EVENT_DATE < dateadd(month, -4, getdate()) then '8'
when EVENT_DATE < dateadd(month, -3, getdate()) then '9'
when EVENT_DATE < dateadd(month, -2, getdate()) then '10'
when EVENT_DATE < dateadd(month, -1, getdate()) then '11'
else '12'
end as Month
from MyTable
Show other details if you need something more.