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

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.

@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.

@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.