Hi there,
The disk type conversion is instantaneous. You can start your VM after the conversion and their will not be any data loss.
This functionality is not supported for unmanaged disks. But you can easily convert an unmanaged disk to a managed disk to be able to switch between disk types.
Update the storage type of a managed disk
https://learn.microsoft.com/en-us/azure/virtual-machines/windows/convert-disk-storage
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