Folders show up as volumes when backing up a Hyper-V VDI server.
When backing up a Hyper-V Virtual Desktop Infrastructure server, users' folders show up as volumes.
Each of the users' folders contains the .vhd or .vhdx disk file for the virtual desktop machine. Since this is served as a volume to the virtual desktop machine, it shows up as a volume.
This operation is completely normal. When configuring which volumes to back up, ONLY select the actual physical disks on the server. Ignore the virtual disks. They are ephemeral and will appear and disappear as VDI desktops are created and destroyed.