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Yes, when using Windows Admin Center to create a new VM and change the path to a cluster volume, only the VM configuration path is updated, while the VHD remains on the local node (e.g., C:\ProgramData\Microsoft\Windows\Virtual Hard Disks). This is indeed a limitation of the Windows Admin Center UI when creating VMs. To ensure proper failover capabilities, you would need to manually move the VHD to a cluster shared volume and update the VM configuration accordingly.
Here is a Microsoft documentation link that discusses managing VMs with Windows Admin Center, which may include relevant information about its limitations:
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Deepanshu