I understand you have some disks and you wish to migrate the server side encryption keys from platform managed keys to customer managed keys. Please correct me if I am misunderstanding the issue.
CMKs must be stored in Azure Key Vault or Azure Key Vault Managed Hardware Security Module (HSM), as noted here. To convert from PMK to CMK on an attached disk, requires you to stop the VM. You can do this migration via portal, PowerShell, or CLI. Once you have the DiskEncryptionSet created you can go through a list of VMs, stop the VM, then enable CMK for the attached disks. It's best practice to create a backup before any change to encryption is performed.
Hope this helps! Let me know if you still have questions or need further assistance.
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