Is it something about the Lemon tree that repels the lady bugs, I wonder? Or do they just fly regardless from where you place them in a spot whether it be a tree or garden or shrub what-have-you?
Maybe because they'd been so cooped up inside the package container when they were sold, once they tasted sweet freedom and sunshine and spread their dainty little wings they simply took flight to wherever the wind will carry them.
I had the same problem once. Chatted with a knowledgeable friend and he told me to wait until late cool of the evening before releasing them. Ladybugs gather and become quite dormant at night. Once they make a home around a bush or tree, they will tend to stay around. Also put them on a tree or bush that gets a good deal of shade during the day if possible. If released during the day they will tend to fly to a place with relative shade and easy access to bugs and water.