Thanks - will check it out.
He didn't leave the Army, he enlisted in the Fife Fencibles when it was formed in 1794 by Col James Durham of Largo. I believe he may've transferred from another Army regiment and that's why I'm exploring the possibility that he came with James Durham from the 2nd Dragoon Guards when he raised the Fife Fencibles. See info below...
Any other suggestions or assistance is very welcome as I've been searching for a years!
Of this family was General James Durham of Largo, born January 14, 1754, who served in the army no less than seventy years, having entered as a cornet in the second dragoon guards, June 22, 1769. On the 21st of September 1794 he received the brevet of major; and, having raised the Fifeshire Fencibles, he was appointed lieutenant-colonel of that corps, October 23, 1794