Since you have SQL Server express edition which is free edition with limited features you do not have maintenance plan feature in it. You will also see that you do not have SQL Server agent. Since no SQL Server agent so there is hardly any point in having MP as SQL Server agent is the one which executes the plan.
What you can do is take local SQL Server backups and then move it to storage account. Please refer to
To write backups of SQL Server directly you need to have SQL Server 2012 Sp1 Cu2 atleast