It's an oddity of the escort order/AI, but currently, if you want to get multiple ships to jump through a gate, you need to "daisy chain" the escort order. For example, if you have four ships, you can't just jump into Ship 1 and tell your other three to escort you. What you have to do is:
1. Jump into Ship 3. Target Ship 4 and order it to escort you.
2. Jump into Ship 2. Target Ship 3 and order it to escort you.
3. Jump into Ship 1. Target Ship 2 and order it to escort you.
4. Jump through the gate.
Daisy chaining your escort orders in this fashion will result in your fleet popping through the gate after you one after the other in sequence.