Thanks to wonderful 2016 hyper-v technology, I now have 6 avdhx files for every vhd set, after repeated Veeam backups. Some of them even succeeded.
The virtual system disk for every virtual node does not merge, unless I shut down the VM and remove the vhd set disks from it. After that it merges correctly the normal vhdx file.
No merging for avhdx generated by vhd set yet.
Also I have to change the node ownership for the physical csv holding the vhd set, to recover from "cannot open attachment" or "general access denied" error, when trying to get the contents of the vm, or trying to inspect the vhd set.