You're right. "Where do my daughters go" has one google hit. It is possible "Where are my daughters" is what it means(16 million hits BTW) http://www.spanishdict.com gives "Where are my daughters" and "Where do my daughters go"
Because of the sexism in language: a group of people who are all female* will get the feminine plural, but if there's just -one- male* person among them, then you're immediately supposed to use the masculine plural. :-/