It's a dominance thing. They know you're in charge so they don't dare fight you when you're showing dominance over them (you think you're giving them a bath, they think you're dominating them,) but they can try to show dominance over the other dogs - so they do.
I have pet rats - they do the same thing. After you "dominate" one he will immedietely go pick a fight with one of the others.
My male dogs are like that, but my girl will go in the bath if I tell her. By far though my cat is the easiest to bath, just fill up the bath and put him in. He doesn't even freak out.
O
You wanna race, Bro?
I'm not Your bro, Bro.
Let's do this, Bro
3... 2... 1.... BRROOOOOOOO