Should Windows created in Hyper-V be monitored under the Hyper-V label or Windows label?
The Hyper-V choice is to monitor the entire Hyper-V server. For a single Windows connection created in Hyper-V, you will choose "Windows".
Once you setup a Windows connection, you have an option to display visualization detail. If you want that, then you will need to setup Hyper-V monitoring. Then the Hyper-V host name should show up in the virtualization details drop down.