I used CloudXplorer to create a snapshot on the VHD of a VM I was doing some installs on. The installs went okay, so is it okay to delete the snapshots or do I need to somehow merge them in to ensure I can backup my current VM state?
Snapshots are just a point-in-time representation of a blob (in your case, a page blob storing your vhd). It's read-only, and it's disposable. If a page in the vhd's page blob is changed, then a new page is created for the snapshot, to represent the original state of the blob. Once you delete the snapshot, the list of pages, along with any created pages to preserve the snapshot's state, are deleted (and with no impact on the original blob).
Note that you won't be able to delete the original blob until you first delete all of its snapshots (and you can also delete blob+snapshots at once).
If you love us? You can donate to us via Paypal or buy me a coffee so we can maintain and grow! Thank you!
Donate Us With