Flash and debug of multiple STM32 in JTAG with J-LINK
As you could flash the init code in the daisy-chained JTAG connection, I think connections and electronics of the JTAG connections are OK, debugger configuration, too.

From my point of view, only two guesses remain:


Power supply becomes insufficient when one of the controllers has activated too many of its peripherals. At least one of the controllers drops into reset (or multiple ones, alternatingly?), so the daisy chain is interrupted.
In the IDE projects, configuration (debugger, build, ...) for init code projects is fine, but there is a bug in the main code project?