Are you a moderator on that site rather than an admin? An admin should have the ability to split off multiple posts into a new PM.
Moderators can only convert the topic as a whole. It is a limitation that has been mentioned before (recently here How can I move posts to a new message? - #9 by JammyDodger). I think @Firepup650’s suggestion could be a good workaround if it’s not a regular occurrence. 