Because they were told to.

You right clicked on the further away Kodachi a few seconds earlier, then told the Glaives to move closer. This gave the Glaives a lingering Keep Target command, indicated by the yellow command lines. It's an option that is enabled by default to make it easy to do things like right click an enemy commander, then move your units in to have them prioritise the commander.

The command can be bound directly, and it might even start on T by default. There is also a command to clear the target without impacting the rest of the queue.