Some good comments. Personally I would tell them that their associating with you and the grandchildren is compromising their belief that people who no longer follow the Watchtower bible & tract society are bad.
Also associating with you and at their same time ignoring you in front of your children is damaging to the children. It undermines your authority as parents. It's not the sort of example that will help your children grow into decent people and learn respect.
Your parents must play a proper roll as grandparents and act in a loving way or stay the hell out of the way! Anything in between is unhealthy and stressful for all concerned.