If so, what do I need to do to make it work? Currently I'm getting a "No devices to configure. Configuration failed." error when trying to run
There are 2 separate ends to an X session - the display and the client. If you've not come across this before then it can be a bit confusing - the display (where the windows get rendered and where the keyboard and mouse input comes from) is the the server and the programs you want to run are clients. It doesn't make a lot of sense to run a display on a VM unless you are trying to provision a virtual desktop. If you merely want to run X programs and interact with them, then do that: start with a preconfigured terminal - since you are using Hyper-V then you probably sit in from of MS-Windows machine - try mobaterm. SSH to your VM (you may need to tweak the settings to get X-Forwarding working - you can check by running
echo $DISPLAY - if its null, X forwarding is not enabled) then start up a program from the command line, e.g.
You can script this from your local machine to start a program launch menu which will then allow you to run more programs with point and click.
OTOH if you really want to provision VDI, BSD seems an unusual choice.