One single fly-back diode or individual diodes for multiple relays?
The second option doesn't allow the diode to conduct unless the +5 V supply rail is pulled below ground. It would be a rare application where this wouldn't cause problems for some other device connected to the rail, or for the power supply circuit itself.

What would actually happen here is the diode you provided would have no effect, and the inductor current would flow through ESD protection diodes in the MCU when you try to shut off the coil current.

Therefore option A is almost surely preferred.