Contrary to first thing we can think about this, a VHD file is not capable to boot from a exFAT partition even on new 10 versions. As I tested creating a exFAT partition on my internal HD and copying there a previously made 10x64-19H1.vhd NTFS formated.
After reading the links on first post I understood better the proposed procedure:
1.- To boot a VHD from a exFAT partition the VHD has to be exFAT formated too.
2.- To create an install on a exFAT formated VHD, first make an standard install on a NTFS formated VHD and boot it and install your prefered software, then capture it to a WIM or ESD image file, and latter apply it to a new exFAT formated VHD.
3.- It is better to iniciate as MBR your VHD, but UEFI booting is also possible, VHD has to be active and PBR requires botmanager. He also suggest exFAT format with cluster size 4K (not the standard exFAT cluster of 32K).
4.- Booting process is very slow on x64, but there are links to download a modded exFAT driver to make the booting pocess faster. he also suggest to use a SSD device not mechanical HD. But also said after booting speed should be as usuall.
5.- He also says it is a few faster if installed directly on the root of the exFAT partition and not on a VHD.
To test this I created a logical 16 GB NTFS partition, and latter reformated it as exFAT with cluster size 4K with PartitionGuru, on my internal HDD and deployed there my 10x64-19H1 WIM image using wimlib-clc (wimlib-imagex GUI). NO pagefile or hiberfile. Used size was 12GB (it was before 7.71 GB used size on a normal install on NTFS formated VHD). After this created the BCD entry with BootIce and rebooted to the new install.
NOTE: I couldn't download the exFAT driver for 10x64 from the links, to improve the booting speed.
Booting process was too slow and I got tired of waiting and just terminated it, and reformated the drive as NTFS. Maybe as ZhuMa said on an SSD could be faster, but on a HDD it is unusable and I don't have at the moment an spare SSD to try it.
As booting from a exFAT formated VHD located on a exFAT partition will be even slowler, I didn't test this approach.
EDIT: See new info on post No. 5