Hello
Start with the most recent differencing disk and merge it with the parent. Since files 5-9 all point to 4, you should merge the highest differencing disk (9) into its parent (4) first. Follow this order: 9 to 4, 8 to 4, 7 to 4, 6 to 4, 5 to 4. I can reproduce multiple differencing disks pointing to the same parent disk in my environment.
Note: Before doing any merges, make sure you have a backup of all differencing disks (AVHDX files) and the parent vhdx file. This step is critical to prevent any data loss.
Best Regards
Zunhui