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Not sure what's going on but have you looked at this with a multi meter?
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Not totally following. All you have to do if you want the lights to be controlled by same switch is to replace receptacle with light, color for color. If the last receptacle does not work look for bad splice in box #2 That is where you did the new work. Now this is if all receptacles did actually work properly before. The neutral should be pigtailed to go to light and onto the next outlet and the same with the switched wire. If the outlets were wired without pigtails and they went directly onto the outlet you need to complete the circuit and thus the pigtailed wires. Do this with power off please.
John T.
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Since you are replacing receptacles with lights, at each box where you have a receptacle, remove the receptacle. Connect all the neutrals and one of the leads on the light together. Connect all the hots and the other lead on the light together. If light #2 works and light #3 does not, then most likely you have a loose splice in the box for light #2. I like the push-in splices, rather than wire nuts. they take up less room and are easier to work with.
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One thing I forgot, a disadvantage of the push-in connectors is they are tough to use with stranded wires (like light fixtures). the solution is a pigtail of solid wire that is wire nutted to the fixture. You should do that anyway, in case you want to change or replace the fixture. Wire nuts can be undone.
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I didn't see it mentioned, so in case you're not aware, be sure to wire the socket shell to the neutral, and the little spring tab in the center to the hot. Check with a multimeter (to ground) after the fact to be sure if the wires are not color coded, which they should be.
Got zapped by table lamps plenty of times as a kid in the days of unpolarized plugs and receptacles.
Tom
“This place smells like that odd combination of flop sweat, hopelessness, aaaand feet"