Thanks :)
I ended up with this approach :
01. created a new KVM with same disk size and disk type IDE, BIOS = UEFI and Virtio ISO mounted to CDROM
02. copy vhdx to proxmox
03. qemu-img check -r all xxxxxxx.vhdx
04. qemu-img convert -f vhdx xxxxxxx.vhdx /dev/zvol/saspool/vms/vmxxx
05...