Hi,
I had the same problem with locked vhdx, but now it seems to be working fine. My RDS farm has been working for 1,5 month without the issue. I have several On-Prem RDSH servers besed on Server 2019 Std with latest FSlogix agent 2.9.7654.46150.
I faced the issue with locked vhdx after I updated FSLogix agent from 2.9.7349.30108 to 2.9.7621.30127. To reslove the issue I turned on CleanupInvalidSessions reg key and updated FSLogix agent to 2.9.7654.46150. After that I haven't seen the issue with locked vhdx.
I've opened a case in MS support, but they didn't help me, becasue the issue gone away.
I want to add, that I also have a problem with undeleted local_username folders. I've been seeing it from the first installation of RDS farm with fslogix 2.9.7349.30108. I don't know if it makes bad influence on user experience or not.