If the steps provided did not work, I suggest reviewing the instructions found printed on the bottom plate of the controller to verify that the steps provided match the "DMX CH. Assignment" setup, which is what you are trying to configure.
Also, although XLR cables are physically an exact replacement of DMX cables, we do highly recommend using DMX cables, strictly for lighting.
As far as addressing these lights, considering that the Scene Setter 24 is only a 24-Channel controller, it will not be possible to control each light individually. Instead, you will need a controller with a minimum of 128 channels to configure each of the 16 8-Channel lights to a different address for individual control.