I received a reply from Pass & Seymour's technical support. As part of
their "line load reversal test procedure," there is a small resistor in
the GFCI that makes it trip when the outlet is first energized. I don't
know if this procedure refers to what happens when first energized, or
if it is some other test that is performed during the manufacturing
process.

In any event, I (bench) tested this on one outlet, then on the curcuit
described. All 3 outlets duly tripped and the lights came on. After
resetting, all are open between L and N, and the circuit is functioning
correctly.

Thanks to all those who replied.