So I opened up my disk management console on my hyper-v host.
As you can see a new raw disk appears. We should bring it online, initialize, format and provide the disk a descriptive name.
.. and try to add it again by the FCM console - this time surely with success. But this is going to be only an "available storage" - still needs to be added to the failover role.
It's a good practice to rename the new disk to ease further identification and error hunting.
Voila, the new clustered virtual disk is ready to host my new VM's image files, you know the .vhdxs and so on.