There's no reason they should be matchy. Don't listen to people who are looking for amusement that will last about 30 seconds when the names will last you children their whole lives. It'd be nice if the names go nicely together, but having them sound alike is tacky and you should simply use names you love in my opinion.
You have some good names on your list!
I like:
Lenora (nn
Nora would be fantastic!)
Margot/Margo
Grace nn
Gracie (I urge you to use
Grace as a full name and call her
Gracie. It's more professional and ages better.)
Anne (beautiful, but I dislike the nn
Annie)
AnyaCalista
David (nn
Davy)
JudeThomas (love the nn
Tom! I think it's an incredibly handsome and versitile name)
I wouldn't use the same middle names for the girls. Just choose another name you like for the other(s) that compliments it or has meaning to you. I know it would bother me A LOT if I had the same middle name as my sibling because I have a filler middle name and can't stand the fact that I share it with so many other people. Anything goes in the middle name slot, so make your daughters feel like they're special imo, especially when they're a triplet.
Also maybe consider using
Lee for a boy's mn too. I'd choose the names, then decide which one goes best with the mn
Lee.