The problem lies with Zigbee Group Messaging. It sends out a broadcast message, instead of the normal handshake protocol. So if a device misses the broadcast message for whatever reason, it won't turn on or off. That's a weakness in Zigbee Group Messaging. If this behavior is prevalent, we'd be better off just not even offering this feature --- OR putting big caveats out there about the fact that it may or may not actually work for a given set of bulbs.
Broadcast is always a hit or miss proposition. If it works, great, you get a nice simultaneous on effect for some bulbs. But you're seeing the downside of it.