Cannot find the vmdk file to convert

You have RDM vmdk file, which cannot be converted. Proof - https://kb.vmware.com/s/article/1003199 . The vmdk file just points to physical device mapping and isn't a real virtual disk

You have to options:

  1. Convert RDM to “normal” vmdk and then convert to vhdx. Here is a guide - http://www.vmwarearena.com/convert-rdm-to-vmdk/

  2. If guest VM is Windows, you can use Starwind V2V in P2V mode for migration to Hyper-V - https://www.starwindsoftware.com/v2v-help/ConvertPhysicalMachinetoremoteMicrosoftHyperVServer.html