Before you go out buyiung a cable(and I dount you're using DMX cabling, but here's to hoping..), try reversing the order of the fixtures. Or one at a time.
First see if one cable and one fixture responds. Then, swap out the fixtures. Same results? OK, you've got not only the right mode set, but your cable is good.
I also don't trust that you've got your lights fully set properly.
You're right in that you need to hit the MODE button until it reads 2001 for 7-channel DMX mode. I like the 7 channel option over the 12 channel since it's more straight-forward.
Hvae you power cycled after changing the mode? It shouldn't matter, but it also can't hurt either.
Testing cables: Get a cable tester or a meter with an ohm test and preferably a tone(makes life easier). Ensure your cables are wired 1-1, 2-2, 3-3(straight through cable) and as you're aware, we're all advocating the use of DMX cabling over XLR microphone cabling even though they look and are wired identical. For test purposes, I doubt you're using long runs so it doesn't really make a difference right now. But, do ensure you're using DMX cables whenever and as much as possible.