I've seen this behaviour in certain videos on youtube, but i've also managed to have them bomb properly.
Yesterday i made a very small (in terms of objects), basic mission so that i can train in flying the Blenheim: take off from Lympne, cross the channel and bomb Coquelles airfield near Calais. The mission has 10 Blenheims in two flights (7 in the first and a vic of 3 in the second), eight Bf-110s parked on the enemy airfield as targets and some flak guns around the place to make things interesting.
I wanted to test things out so i ran the mission, activated the AI control and bumped up the time compression until they got close to the target. The leader called bombs away and all the aircraft (including my own, under the AI autopilot control) stayed in formation and dropped.
I know the Blenheim has a maximum of only four bombs (if using 250lb ones, the secondary bomb bays can't be loaded yet) while the German ones can have a dozen small ones and this makes the bomb drop sequence more time consuming for them. So, if they are programed to turn after a certain amount of time from the moment the first bomb is released, bombers with a lot of bombs will exhibit the behaviour you described (especially if a high interval between bombs is selected) while those with less bombs will be able to drop all of them before they start turning.
That being said, in that sample mission my flight kept going straight for quite some time. Due to the airspeed and bomb travel distance we were a couple of kms from the target when the bombs away command was given by the leader, but the flight continued straight and overflew the target waypoint before turning back for home.
The only difference between what i did and what you did is that i didn't set them a direct "attack target" command. I used the area attack command (i think it's called attack ground or area, not really sure right now) and set the waypoint on top of what i wanted them to attack (the static Bf-110s).
I knew it worked correctly because even though most of the bombs missed (i had them set to the default average AI), quite a few were close enough and did good damage to the static Bf-110s i used as targets.
Maybe you could try doing the same with the He-111 (i would do it right now but i'm a bit short for time), i would be very interested to know your findings.
Also, i agree that it would be good having the ability to transmit bombsight settings to the rest of the flight and also have them drop on command (this one exists in the radio command menu, i guess we'll be able to have them drop on command when it gets debugged).
Hope this helps, if you test it please report on how it turned out. Cheers