It is possible to Transform a Collective Course into an Individual Course only if it has an enrollee in it, if it has 0 or more than one enrollee it will not be possible to transform this course.
To proceed with the transformation, you must navigate to Collective Courses → Course Tab → Other Actions → Change from Collective to Individual Course.:
Then enter the name of the new Individual course:
This will create a new Individual course; the old Collective course will no longer exist.