You're actually right. Fortunatly I had an old save . I talked to astarion first and accepted his offer. Then all other companions expressed their disappointement and jealousy, which made me think they all were fine with it. But if I reload and ask tem out, they refuse . That actually a problem with the dialogue you get once you accept either companion offer, which seems to always be the ''disappointement, jealous'' one. Hopefully this ll be fixed after EA. Seems that you need to build sorta good relationship with them before bedding them. Still, I believe the first part of my point still hold. When all of the character are pansexual, they are less unique and less realistic IMHO.
In my playthrough I only had Lae'zel available as an option and it was exactly like you described, if I talk to them after accepting Lae'zel they all reference me having chosen someone and express jealousy, but if I ask then before accepting Lae'zel, they instead turn me down.