In command center go to protect > virtualization > VM tab > find the VM > backup.  

@MFasulo Thank you for the answer.

I did try with VMware workloads and it was successful, I was able to trigger individual VM backups for multiple VMs in a subclient, but when I tried with our Azure workload. I could start only one Job at a time. The second Job failed with an error:
Another backup is running for client XX, Backupset YY, Subclient ZZ. 

Any way around this particular situation.

How long have these subclients been set up? You might need to migrate them to V2 indexing if they have been around since before you went into V11 Commvault. I had to do that and migrate our vcenter into a V2 indexing version. With V2 indexing you can run backups of individual machines instead of the entire subclient. 

Unfortunately Indexing V2 is not yet supported for Microsoft Azure Virtualization Clients: https://documentation.commvault.com/11.22/essential/114216_vm_centric_operations_in_command_center_vsa_v2.html - therefore the “VM Centric operations” won’t be available and the single VM backup is actually an “ondemand” backup of the subclient - so you can only start one for the same subclient. 

It will work for any indexing V2 enabled virtualization client similar to your experience on VMware.

@Christian Kubik @Jake Thank you guys. I spoke to the account manager and he mentioned that FR23 is expected to include support for Index v2 for Azure and Hyper-V clients.