Some horses are allergic to citronella. I bought a bottle of bronco spray(which has a very strong smell to it) and my horse broke out in hives like crazy.
Are they only getting bumps on their necks? Where at on their necks?
Do they open up and ooze or just look like hives?
I would maybe have a vet come out and look at them, see what they say about it.
But easiest thing to start with is to change your fly spray and see if that helps.
"Take the time it takes, so that it takes less time."
"Expect a lot, accept a little, reward often."