@Mihai
Is there a document or post you are following and can you let us know what you are trying to accomplish? It seems like you wish to upload a VHD and then use that as a disk. If so then you can follow the process outlined in the documentation here. In this process you do not need to first upload as a blob to create the managed disk.
I tried but was unsuccessful in reproducing your issue. When uploading a VHD file the .vhd remained on the end and the file was uploaded as a page blob. You might check the logs to see if there is any clue on why the file name was changed. You can open the Storage Explorer logs directory by choosing Help> Open Logs Directory. It also might be helpful to view the AZCopy command and logs that was used to transfer the file. You can view detailed AZCopy logs in C:\Users\<username>.azcopy.
Hope this helps. If you are still having issues or have further questions please let us know.
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