Problem with VM migration from Azure to Hyper-V

I am migrating some servers, one of them on Azure, I've donwloaded the vhd but when I tryed to create the new virtual it is showing an error.

"An error occurred when attemping to retrieve the virtual hard disk "...vhdx" on server ...

Getting the information for virtual disk "...VM-Disk.vhdx" failed."

Then I tried creating the vm without disk and after that set the disk, but another error message doesn't allowes me.
I get the error:

"Failed to convert the virtual disk.
The system failed to convert 'C:\Users\Public\Documents\Hyper-V\Virtual hard disks\VD-Disk.vhd': The requested operation could not be completed due to a virtual disk system limitation. Virtual hard disk files must be uncompressed and unencrypted and must not be sparse. (0xC03A001A)."

Do you know if I am missing some step, or how can this be solved. Thanks in advance.

I made that, follow the steps, but I get the same error message when creating the vm on Hyper-V...

The sysprep break something on the VM, we couldn't access again from remote desktop, we are restoring a backup that we had. Anyway, it doesn't work. The disk on the VM is managed, if that is a clue that helps to continue with the migration. After I did this, the message continue being the same: " The requested operation could not be completed due to a virtual disk system limitation. Virtual hard disk files must be uncompressed and unencrypted and must not be sparse. (0xC03A001A)."