The key part is that they have to be fair when any subset of the dice is rolled together, not just when all five are rolled. Also if the dice are allowed to be different sizes then it's easier as well.
There are possibly other applications in navigation, radio communication, or other domains that might make this a more interesting problem than just figuring out game ordering.
Requiring same size doesn't make it harder; you can take any solution and inflate the dice (take the lcm of all the sizes, duplicate the face numbers).
edit: oops i just double checked my construction and while they give equal go-first probabilities they don't give equal permutation probabilities...