1. A method to identify virtual machine stored storage policies in a data management system, the method comprising: monitoring a first plurality of client devices that are physical machines that generate primary data stored on one or more primary storage devices; monitoring a second plurality of client devices that are virtual machines that generate primary data stored on one or more primary storage devices; directing one or more media agents to perform at least one data protection operation that copies the primary data stored on one or more primary storage devices to create secondary data stored on one or more secondary storage devices, the at least one data protection operation converts the primary data from a native format to secondary data in a backup format wherein the backup format is different than the native format; determining which of the first and second plurality of client devices are virtual machines, by automatically requesting, with one or more computer processors comprising computer hardware, a first list of virtual machines in a data management system from virtual machine management software; receiving the first list of the virtual machines in the data management system in response to the request; during the at least one data protection operation, automatically retrieving, with one or more computer processors, a second list of virtual machines in the data management system from a storage manager, each virtual machine on the second list associated with a stored storage policy of a plurality of stored storage policies contained in a management database, wherein each stored storage policy includes a data structure specifying at least a type of data protection operation; automatically comparing, with one or more computer processors, the first list with the second list; automatically identifying, based at least in part on the comparison, and with one or more computer processors, one or more unprotected virtual machines that are not associated with any stored storage policy; automatically querying, with one or more computer processors, the unprotected virtual machines to obtain characteristics associated with the unprotected virtual machines; receiving from the unprotected virtual machines, in response to said querying, characteristics by which to associate the at least one virtual machine with a stored storage policy, wherein the characteristics comprise: a cluster of computing entities to which each of the unprotected virtual machines belong, a location of a datastore associated with each of the unprotected virtual machines, a department to which each of the unprotected virtual machines is assigned, a name of each of the unprotected virtual machines, a quest host name associated with each of the unprotected virtual machines, a resource pool associated with each of the unprotected virtual machines and a type of virtual machine manager associated with each of the unprotected virtual machines; automatically comparing, with one or more computer processors, the received characteristics of the unprotected virtual machines with pre-defined backup categories associated with the criteria for the different backup policies, wherein each of the pre-defined categories are associated with a stored storage policy of the plurality of stored storage policies; categorizing one or more matching unprotected virtual machines when the received characteristics match the criteria of the cluster of computing entities, the location of the datastore, the department to which the unprotected virtual machine is assigned, the name of the unprotected virtual machine, the quest host name, the resource pool, and the type of virtual machine manager associated with the stored storage policy; automatically associating with one or more computer processors, the stored storage policy of one of the pre-defined backup categories with the one or more matching unprotected virtual machines; and directing the one or media agents during the at least one data protection operation to copy the primary data generated by the matching unprotected virtual machines in the native format to the one or more secondary storage devices in the backup format based on the associated stored storage policy.