Millimeter-Wave (mmWave) communication has been considered as one of enabling technologies for the sixth generation (6G) network and beyond to boost the system throughput, which however is hard to provide robust and reliable transmissions since it is easy to be blocked. Coordinated multi-beam transmission has emerged as an effective way to overcome this challenge. In this letter, we first define an incomplete blockage probability and a correlated blockage probability for each user equipment (UE) to measure the robustness and reliability in coordinated multi-beam transmissions, and then formulate the coordinated multi-beam selection and transmission power allocation problem to maximize the sum rate of all UEs in consideration of the independent blockage probability and dependent blockage probability constraints of each UE in mmWave networks. To solve the considered problem efficiently, we reformulate it as a hierarchical game model and design a decentralized algorithm to search the Nash Equalibriums (NEs) of the games. Finally, we present extensive simulation results to demonstrate the effectiveness of the proposed scheme.