Got other "pets" such as seeker drones, FFG or Fluffy in your pet window? They can't be set to Defensive so the icon for "all pet stance" shows up as you describe. Your pets that can be set to defensive, you actual MM pets, are being set to defensive, but because that icon represents all the pets in the window it can't change to defensive.
But I am lvl 26 Demon/Dark I have no other pets, unless its thinking Tar Patch is a pet. But it never shows in the pet window either.
Lets say I have all my pets on attack. Then when I click all pets-Defensive, they all go Defensive except Demon Prince, he still wants to be attack mode, icon stays red, All pets icon goes to exclamation point. So then I have to go to Demon Prince, click Defensive for him, then All pets icon goes defensive.
-Largo
Founder of A.G.O.N.Y. Supergroup on Victory
Member of Thought Sanctum VG on Victory
Member of St0rm Batallion SG on Guardian
Ah, sorry, I misunderstood. I can't offer any advice for your problem, I am sorry 
edit: are you using a macro or bind like /petcomall def to set them?
I think I fixed it. I am using macro power icons in a seperate tray for my pet commands. I just deleted them and remade them and it seems to have done the trick.
-Largo
Founder of A.G.O.N.Y. Supergroup on Victory
Member of Thought Sanctum VG on Victory
Member of St0rm Batallion SG on Guardian
I sometimes get the same thing when I click attack/defensive. I think it's a lag issue for me when I click it again it takes.
How come when I click on defensive mode, for All pets, it gives me a yellow exclamation point circled in red? For some reason it does not want to put my Demon Prince in Defensive Mode for Bodyguard sharing unless I tell each indivdual pet what agression to be in. Is there an option setting I am missing or that got changed somehow? It should be easier to get into BG mode than this. Ideally I want to be in BG mode, absorb the alpha then attack. But it is silly having to command the pets seperately.
When I click attack mode, all pets, it works. But not for defensive. Im befuddled. Please help.
-Largo
Founder of A.G.O.N.Y. Supergroup on Victory
Member of Thought Sanctum VG on Victory
Member of St0rm Batallion SG on Guardian