Are they iBGP or eBGP neighbors ?
The MPLS default gateway IP address must be reachable by those devices in order for that route to be installed on their routing table.
You see that behavior with iBGP as the next-hop information isn't change between neighbors while with eBGP the next-hop information reflects the router advertising the route. You can change the iBGP behavior by having a neighbor command with the next-hop-self option (neighbor 1.1.1.1 next-hop-self).
HTH,
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Edison.