If they are preaching at your kids, how about a little coaching for them.
Have them simply ask "Can I still celebrate my birthday if I become a Jehovah's Witness?" and let things go from there. The reply will either be somewhat embarrassed, if they realize how cruel it is to take away a child's birthday, or on the other hand, it will be so over the top ridiculous, your children will see what a silly cult these people belong to. Either way, you and the kids win.