We added this functionality. For Alexa, it’s “Set to favorite position” or “Set to preset mode”. For Google Home, it’s just “Set to favorite position”.
The Bond’s “virtual remote” is paired with whatever Somfy RTS receivers are currently in pairing mode, so I’d guess what happened here is that you pressed the pair button on your remote when it was addressing the whole group.
If you want individual control, I suggest you hold the pair button on the physical remote when it’s addressing the shade you want to control. Check that only that shade responds, now create and pair a new Bond remote with the shades. It should only be paired with the one target shade!