Failed to set folder permission when creating a new VM

[blin]

Situation: When attempting to create a VM in Hyper-V using existing VHD file, you may receive "failed to set folder permission" error.

Case 1: the VHD file is located in a external drive. Make sure you you have full permission or check the ownership in the folder.
Case the VHD file is located in a network drive. Make sure you you have full permission or check the ownership in the folder.

Case 3: Copy the vhd file to a local drive, then it works.