After converting it to VHD, it is a good idea to boot it up locally in Hyper-V, make sure it is configured for a dynamic IP and that RDP is enabled and you are able to successfully RDP into it. Then if you want to use it as a base image, you'll also need to generalize it with sysprep. If you want to use it for a single Azure VM, don't run sysprep, but upload it as a disk instead of as an image (Csupload Add-Disk instead of Add-PersistentVMImage).
I use VirtualBox (actually the CLI vboxmanage,