I just tested two displays together both running the demo.
Modified the address of one, solder blob across the addr pads.
Thought it was a track cut but I was wrong, solder much easier.
My setup is the same as you have described; Pico W plugged into Lipo Expansion Board connected to OLED connected to next OLED. I used 50mm Piicodev cables. Pullup settings NOT changed.
One of my displays is damaged missing every alternate scan line, but it still shows the demo ok. Damage was me on a previous project. Both displays show the demo at the same time. Demo was modified to use two displays.
If yours works on a Pico and not on a Pico W, you might have a faulty Pico W. But as you have said you tested it on 2 and all combinations; you would think at least one should be ok. If you have connected the wiring by soldering to the board, you may have the SDA & SCL lines crossed. The LED on the OLED lighting up would mean the power is ok. Another thing you could check is the continuity between the SDA & SCL pins on just the Pico W, with the power off, there should be none. Solder bridges can be quite small but it should not have happened on both boards.
If you suspect faulty boards suggest you contact Core Electronics.
Regards
Jim
PS Software on the Pico W is rp2-pico-w-20220831-unstable-v1.19.1-358-g0b26efe73.uf2