I agree with Djarid the problem is most likly that you have not gotten use to the delays that are unnoticeable while solo but are a major pain when multiboxing. Try clicking a target and waiting about .5secs or longer and then pressing your macro. There is nothing wrong with your macros right now just the server delay.

One thing I would like to add is if you place your macro in the round robin (assuming your using keyclone) you can send a different pet to each target by targeting the first target pressing the macro, targeting the second pausing for just a second and pressing the macro again then targeting another and repeating.

Good luck with your locks!