They are not all the same, as you have noticed. Those down stream are catalyst monitors and should have a blue connector shell. The up stream sensors are the actual oxygen sensors and should have a green connector shell.
If you bought them from Ford that is. Bring back the ones that won't connect and speak to a parts person at your local Ford dealer for the correct sensors.
Or you can cut and splice the connectors from your old ones onto the new sensors, but I don't recommend that.