1) It is not currently possible to convert your VHD file to VHDX in the cloud.
2) The name can be changed after the VHD is downloaded.
3) The Hyper-V virtual hard disk (VHDX) format isn't supported in Azure, only fixed VHD. The VHDX file will need to be converted to fixed VHD prior to upload.
For product feedback and feature requests I will refer you to our feedback forum. This allows the community to add their voice and upvote popular ideas. The forums are monitored and responded to by our product teams.
https://feedback.azure.com/forums/216843-virtual-machines
Hope this helps! Let me know if you have further questions or issues and I will be happy to assist.
Please don’t forget to "Accept the answer" and “up-vote” wherever the information provided helps you, this can be beneficial to other community members.