Building a band i show that the key signature is the same for all. That is not correct.
Try choosing Edit > Transposing Score.
When open a template in C+ all instruments are in C+. This is not correct. When piano play in Bb Trumbet Bb play in C+, Horn in Eb play in A+ etc.
Cccdin, did you perform the action Daniel suggested above?
Scores show in concert pitch by default. You need to turn on transposition to display their transposed keys.
And if you are importing an already transposed XML score into Dorico, you will probably need to choose Transposed before importing.