If you are creating a backup of volumes hosting virtual hard disk (VHD) files, the VHD files will be automatically excluded ...

If you are creating a backup of volumes hosting virtual hard disk (VHD) files, the VHD files will be automatically excluded from the backup if they are mounted at the time the backup is created. To back up the contents of the VHD files, either back up the virtual volumes separately or dismount the VHD files before every backup operation.