That's because LEDs don't draw nearly as much current as an incandescent bulb. The interior lights are on what GM calls "inadvertent power", which is switched off after about 15 minutes to guard against running the battery down. It monitors the current on the circuit and doesn't turn it on unless it see the load of a light bulb, but the LED is too small of a load for it to detect. When you turn them all on, the combined load is high enough to trigger it.
When I switched to LEDs I put a resistor in line with the bulb to create the additional load. Only problem was that resistor got really hot if they were on for more than a minute or two. One of them actually got hot enough to melt the plastic bezel and I had to get a new one from a junk yard. So I rewired it with two resistors and a capacitor to prevent the overheating.