I was just messing with markdwarves last night, for my first time since 40d.
What I learned is this: Marksdwarves need a training barracks in addition to an archery range. Sometimes they want to do non-archery-related training things, like demonstrations. If they don't have a training barracks, they can't do those things, so you get "cannot follow orders."
Also, each individual archery target does in fact need to be its own room, even if the targets overlap. I set up five targets, designated the one in the middle as an archery range that encompassed all five, and my marksdwarves only ever practiced one-at-a-time using the middle target. When I designated each target as its own room, and set the marksdwarf squad to train there, they began to practice in twos and threes instead of just one-at-a-time.
What I've not figured out how to do yet, though, is keep my greenboys from rushing into melee combat. During the fun times I have them stationed atop two one-z-level-high towers on either side of my drawbridge, giving them a broad field of fire. But when the bad guys get about halfway across the bridge, the greenboys forsake their iron bolts and sally forth, completely failing to give my melee dwarves sniper coverage from safety.
They did manage to wipe out a squad of goblin lashers that came as the first wave of a siege before they ever got to the bridge, though, so I'm tentatively keeping them.