Welcome to the world of coding and plug-ins. Early this year we added functionality to the website that enabled you to "split out" orders and ship individual items to separate addresses. This was a fantastic idea, in theory, but didn't quite work out in practice.
The application was generally slow and led to several issues on the back-end that were difficult to resolve. Our intention is to eventually bring something like multi-ship back, but we need to do some more research and testing before we move forward.
With that in mind we set everything back so that there is one checkout for each product and a "Gift Message" field at the bottom of the cart page that will appear on the packing slip. Although this doesn't give the functionality of the split order, this will improve performance at checkout.