I think you're better off avoiding the "Pick Nearest" condition in this scenario. You could probably somehow use it in conjunction with the "pick all" condition to find the nearest 4, but that seems like a really ugly solution to me.
There could possibly be a more elegant way to do this, but this is what I came up with:
Demo
Annotated Capx
It stores the distance between the hero and each enemy in an array, sorts the array to find the 4 with the shortest distance, and changes their frame.