My opinion is that the burden needs to fall on both sides. Your parents need to know their boundaries when it comes to their grandchildren (leave their beliefs at the door, so to speak). A little preparation from you to the children while visiting their grandparents won't hurt. The children should just have fun and enjoy their family. It's wonderful that they want to enjoy your parents. It's a compliment to you and how you have raised them.
I decided to quit when my son was 9 years old. We faded and he didn't mind because he hated going to meetings. As we know, meetings are too hard on all the kids. Anyway, he had a very hard time because his grandma must have told him about consequences when you leave the witnesses. He would never tell me exactly what was bothering him so much, so I had to guess. He told me I was breaking up the family. He would get very upset. So, when I told my Mom that I quit, I asked her very nicely to never talk about the WBTS stuff again to her grandson, that it was confusing him. I told her what my plans were for nurturing his beliefs in God and religion but he had the right to decide these things for himself. Even if he was still attending the KH, he would have to decide for himself. Everything I told her was in the best interest for my son. I never requested anything for myself. She said she would respect my wishes. As for my son, we decided together to make some specific compromises and met my mom and my JW sister half way. My mom gave me trouble at first, but I explained to her that if we don't get together when my sister and I have time off, someday the kids will be grown and we won't be all together again. On our days off for the holidays, we would get together at my sister's house where there would not be a Christmas tree. They stay away from my house so they don't have to see the Christmas tree, B-day decorations, etc. It didn't take long for everything to be alright for my son. He was happy.
One thing I did was I started talking to my son about how our family started with the JWs and why I left. I was very honest with him that I didn't know I was in a religion that was not healthy for us. We were going to have a better life. I apologized to him about being mean to him about the meetings. He seemed impressed with that. I told him that Grandma was happy. But I told him we would always respect what Grandma wants, and we will always work things out. He's gotten older and is okay with the changes, he just wants to spend time with his family.
I remember an article I read about explaining things to your children when leaving the Dubs. If you think it will help, I'll see if I can find it.