Perhaps you have discovered this already, but I thought I would share my experience with a target rich environment while dragon riding.

I went to Karthspire to meet up with Delphine and Esbern while riding a dragon. Naturally, you get the scripted dragon plus a whole lot of Foresworn to fight. (it was a cool battle, btw) What I found was that my dragon would end up selecting his own targets despite what my character was locked onto. It would seem that the dragon you are riding has his own sense of what is the most threatening enemy to deal with even if your character has locked onto a different target. Also of note: even without selecting any targets your dragon may get into a fight if it is being attacked.

Overall, it would seem you should consider target lock as an aide more to your own character than to the dragon who will select his own targets if he is being attacked.

(and boy were we being attacked! it was cool watching all the ice spikes being thrown at us from those Foresworn.)