I think I may have found a solution. It's all in the joins. I created a recursive CTE to generate a framework of end-of-month dates covering the period of time required for the report. I then linked the job data back to the list of dates like this:

SELECT CTEdates.EndofMonth, COUNT(Job)

FROM CTEDates

LEFT OUTER JOIN #Files ON #Files.Received <= CTEDates.EndofMonth

AND ( #Files.Finished IS NULL OR #Files.Finished > CTEDates.EndofMonth )

GROUP BY CTEdates.EndofMonth

Does that make sense or is there a more efficient way of writing the query?