Just for the record, 'madams' is absolutely wrong, and it doesn't matter in the least whether you capitalize it or not. Trust us: It means Puffmütter. Do not use it in a business letter. It will insult people -- or else amuse them no end, but either way, they won't be inclined to take you very seriously.
'Madames' is completely wrong, because it isn't a correct plural.
'My lady' is irrelevant unless the women are British holders of titles; even then, it's a spoken form of address, not a written title.
'Ladies' might have been conceivable if 'Gentlemen' weren't already largely outdated, and if you didn't already know their names.
'Mesdames' is technically a correct plural when last names are known, but like 'Messrs.,' it's very old-fashioned, hardly used in modern English.
So the best solution is that given in #5: Use their names and the usual business titles.
Dear Ms. A and Ms. B:
(Or 'Mrs.' if you know that either one is married and prefers that title.)
For the nth time, finding out names and using them is the only really good solution to all salutations in English. Impersonal forms such as 'Dear Sir or Madam' or 'To whom it may concern' are really not very often used in the first place, which is why questions like this are like splitting hairs about a subject that hardly ever comes up in practice. And it makes even less sense in this case, where the names are obviously already known.