Welcome to the forum.
In all of your examples, the position of "all" is unnatural.
When I phoned, they were all saying their prayers. (You phoned during prayers.)
When I phoned, they had all said their prayers. (The prayers were over.)
When I phoned, they had all been saying their prayers for an hour. (The prayers are still in progress and had been in progress for an hour.)
Student or Learner