Similar issue happens with groups of siege units. If you have a group selected, then shift+click multiple targets to destroy, the first command is performed by all of them, but the second and any subsequent ones are only performed by one of them.
This whole thing makes the game very counterintuitive and difficult to rely on.
If you want to test it, I already reported this a month or so ago here: Shift+click doesn’t work correctly with groups of onagers