@EnterpriseArchitect You can refer to below articles as well which might be helpful for your use case:
https://learn.microsoft.com/en-us/azure/virtual-machines/windows/download-vhd
http://techgenix.com/moving-azure-vm-on-premise/
Hope it helps!!!
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Note : There are few articles in the mentioned answer which are not the official documentation from Microsoft side, so we can't confirm on the working of components as mentioned in the article.We have just tried to provide you the information which can be helpful to you with the current issue you are facing and help you in resolving the same.