The OP probably has these iSCSI LUN's in the VM, as the standard advice from Microsoft for years has been to put SQL/Exchange workloads onto pass-through disks. Using iSCSI in the VM neatly gets around any HA problems using pass through.
All of our SQL, Exchange and File servers were setup the same way and we managed to convert these to VHD/VHDX without experiencing any performance degradation. We are a large-ish organisation with 1300 users (with mailboxes) running a number of financial and training DB's.
Microsoft in recent times have suggested that their VHDX format is now comparable in terms of performance with pass through and a number of MVP's have stated that keeping pass-through disks in a virtualised environment is counter intuitive and limits your options.