Hyper-V machines do not have access to GPU, previous implementation is legacy and cannot be selected anymore. No one knows when the new implementation is going live.
Where you'll run into issues is on the NVIDIA side. They deliberately cripple their consumer drivers to prevent use in virtual environments to extract licensing dollars.
(Haven't tried AMD but last I remember, their cards don't support being pushed around by the IOMMU. Could be wrong.)
[1] https://docs.microsoft.com/en-us/windows-server/virtualizati...
You would need PCIe pass through, so the VM could control the GPU. For that, you would need either separate GPU, or a GPU that supports SR-IOV, and a board that supports IOMMU.
ROCm specifically is not only userland, but also a kernel driver (amdkfd/amdgpu). To use it, you are going to dual boot into native Linux for a while.