Didn't have a good experience with VHD files. I was using them to mount VirtualBox virtual machines. Eventually the VHDs became RAW, and I could no longer use them. There was data loss. Also I did have a few improper shutdowns (which could have been a contributor to the problem of VHDs getting corrupted.)
I have now saved the VHDs directly on the disk and not on the pool.
Another thing to note, duplication uses, me thinks, a simple file copy mechanism. So if you have those VHDs mounted and then you try to copy them without Volume Shadow Service, it doesn't turn out as expected. Once even one of the VMs crashed and started throwing errors. However if those VHDs are not mounted, it is a different scenario and they are just like any other large files.