finaly I solved the mystery!
After checking the VMWare Image with VMWare Player, I could confirm that this is working fine and booting into the configuration process. By switching between the TTYs, I recognized, that e. g. on TTY1 I see exactly what I saw in my Hyper-V VM (prompt).
Cross-Checking on Hyper-V VM, on all TTYs I saw only the prompt but no graphic-window.
So I came to the conclusion, that the problem must be graphic related. By adding a virt. graphic card on my Hyper-V VM in its definition, it finaly shows the setup wizard on TTY2.
So converting the image is not the issue; just have a proper VM definition. Misleading was, that adding a graphic card was not necessary in the basic UCS image.
Thanks for the help!