Trouble with End of Run Switch
You're describing an end branch that is supply-lamp-lamp-lamp-switch with 14-2 cable on each segment. 

You have a clear grasp of wire function and you laid it out in black and white (/2 cable is black and white).  Trouble is, you're colorblinded.  I'd like you to color-code your wires, and I think this will suddenly become obvious. 

Get some red tape

(And black too, while you're at it.) 

And now tape your wires.  First rule of wire is tape both ends at the same time, don't mark one end then forget to mark the other or you'll lose your mind.  Second, once you have taped a wire, the wire is now that color.   You don't need white tape since you cannot mark colored wires to be a neutral. 

Start with the thing that is required by Code: marking your retasked white wire.   Your white wire which is always-hot, mark that with black tape.  Black is the color of always-hot.  **

Now you have a switched-hot wire in that switch loop.  You used the black wire which is fine, but mark it with red tape.  Red is the color of switched-hot. ***

That was easy.

Whatcha got

Now go to your last lamp box (nearest the switch), remember a marked wire is that color, and you see a very obvious problem.  


Neutral/white lands on the lamp, as it should...
Switched-hot/red lands on the lamp, as it should... 
Always-hot/black upstream is nutted to always-hot/black switch loop...
but nothing carries switched-hot upstream to the other lamps. 


Open up the next lamp and you see white/neutral to the lamp, as should be, black/always-hot to the lamp, and that's why they're always on.  

Fix it

Now you see, to control the other lamps, you need switched-hot running back to the other lamps. So you need /3 Romex, which conveniently contains a red wire.  That's straightforward and I trust you can figure it out. 

However there is another Code requirement.  You must now run real-neutral on the switch loop.. The reason is for future support of smart switches.   So you also need the always-hot, switched-hot and neutral triplet down to the switch.  That means you have to use /3 cable on the switch leg also.   

That means you can just do the works in /3, which gives you access to native wires with all the right color codes, and I just wasted your money on tape :) 



**    This is a convention (but a very smart choice when working in Romex.)  If some guy in a factory wanted to use pink-with-green-stripe for always-hot, that's his call, as long as he is consistent throughout the facility. 

*** That is also a convention, but one which plays very well with the fact that in /3 cable, the third wire is red.