A similar question has been asked, please see my answer there: Android Wi-Fi Direct Network
To sum up: Multicast should work on Wi-Fi Direct in theory, but some Android devices block incoming non-unicast traffic on the stack level. Since you already have it working on the devices when using normal Wi-Fi, it seems to be another issue. Do make sure that you acquire a MulticastLock. I provided an alternative solution using unicast in the linked answer.