I am not entirely clear if it is ok to apply to more than one university ? I have currently submitted two applications to two universities where i have Supervision interest from each institution and the possibility of funding. Is this totally against protocol ?? I cannot find any information regarding this. I would appreciate it if someone could let me know ? Thank you so much.

Yes. A lot of people apply for multiple PhDs, similar to how you apply for multiple jobs. You may get offers for both or none, so increasing your odds is okay.

If you provide your own funding most applications will be of interest to a university. If you are applying to funded PhDs the Uni will only care if they make you an offer and you tell them you're waiting to hear back from your other applications. You can accept one position and later withdraw for a better offer but this is frowned upon. But really, who cares, this is your career. Good luck.