Well, this is rather interesting, and complicated. All 4 of your saxes have been assigned to Dorico’s Alto Sax instrument – you can tell by expanding any of the player cards in Setup mode, clicking the three-dot menu, and choosing Edit Instrument Definition. This means that all 4 staves are using the Eb transposition.
You can verify this by looking at the first measure in concert pitch:
And then in transposed pitch:
The concert F# on the downbeat in the tenor sax should display as a G# for a transposed Bb instrument, but it’s displaying as a D#.
If the transposed parts look the way you intend, then I’m sure that playback in Dorico doesn’t sound right, and if playback does sound right, then the soprano and tenor parts are showing the wrong notes to the (human) player.
The cues you added are indeed Dorico’s Shift+U cues. In your screenshot above, you’re displaying the alto sax part in concert pitch. So it’s not that the cue notes are showing in the transposition of the tenor sax, it’s that all of the notes are showing in concert pitch.
If you switch to transposed pitch, it looks like the cues are displaying in the transposition of the tenor sax – but that’s only because your tenor sax staff is using Dorico’s alto sax instrument, with its Eb transposition.
Another possibility is that you entered all of your pitches in concert pitch view, but you entered the pitches the way that the players would see them in their parts. If that’s the case, then again, I bet the playback in Dorico doesn’t sound the way you want.
In any case, something is not quite right in how these notes are entered. If everything were entered correctly, so that playback sounds correct and the transposed parts look correct, then you’d see that Dorico does in fact display all cues in the key of the destination instrument, which is what you want.
This is all fixable, with a little work. What should the first pitch be for each instrument (downbeat for soprano/alto/tenor, beat 2 for bari)? You can give the pitches either as concert pitches or as written for each instrument.