Ignoring the native boot to vhd for the moment, I assume it will let you install to Disk0 Partition2.
Or rather need to create a 128MB MSR (Microsoft Reserved Partition) first, and then a big OS partition as Partition3

More info on UEFI install at http://www.microsoft.com/whdc/system/platform/firmware/UEFIGuide.mspx

For native VHD support, it might be possible to populate the vhd with the right contents somehwo (via the WAIK or wim2vhd) and then the manually set up the right boot info in the BCD database (such that bootmgr.efi can boot it)
The vhd would probably need to be GPT (as you have done), but can it get away with a sible OS partition?

When I finally get my hands on a UEFI capable system (other than my Itanium!) I might try it