VHD sets is supported for guest clusters in VMM 2016 and above releases. (https://docs.microsoft.com/en-us/system-center/vmm/hyper-v-guest-cluster?view=sc-vmm-2016). In addition we are reviewing if any additional scenarios for VHD sets need to be supported.
This feature is being planned, will update once we start working on this.Kristopher Turner commented
Why not take the same technology from ConfigMgr's Distribution Points and add them the VMM Library server?