Hello Adnan,
Can you please explain how did you measure the insertion loss of each MZM?
You need to understand that the optical signal is going to be distributed over the 16 QAM signals. The electrical field of each signal of 16QAM has different amplitude and phase. If you add the optical power of all signals, you must reach the original optical signal power if there is no insertion loss set for any optical component used to create the 16QAM optical signal.
Regards,
Ahmad