Well, now you know why they were on special offer.
Sorry, I had to say that.
The typical problem with LED indicators is that they don't draw enough current to make the relay flash, sometimes even lower wattage incandescent lamps can cause this. Putting a resistor in series would compound the problem, not solve it.
When you say that all the indicators come on when you activate the switch, do they all burn steady or do they all flash? Typically if there is not enough current draw the lamps will burn steady and not flash at all.
You have replaced the entire signal bodies, and not just put LED lamps in the existing sockets, correct? If so, I would suggest checking the polarity of the connections to the signals, because unlike incandescent bulbs, it matters to LED signals which lead is positive and which is negative. A reversed connection could give a current path to maybe mess things up in some strange way.
Just a thought.
Steve