Your ex in-laws' opinion does not matter here. They can scream until they're blue in the face, but that does not obligate you to give them an audience. Politely but firmly tell them to butt out, and then ignore them.
You need to talk to your ex and decide what is best for your children, and what you can both personally handle.
If that means that your ex will show up to your own family's house to celebrate the holidays with the children, so be it.
If you both decide that your children should spend some time with their paternal grandparents (whether it's on the actual holiday or on an alternate date), then your ex needs to say to them, "Sally and I have agreed that the kids will be available to come visit you on date(s)." If the parents object, your ex needs to say, "Sorry you feel that way. The kids can come see you on date(s). If you aren't able to host them, we understand." And then drop the subject. They can either see them when YOU GUYS say so, or they can decline to see them at all.
Ignore calls and messages from your ex in-laws. Let your ex handle it. He needs to make it 100% clear to his parents that he and you call the shots on your kids.
As far as your children's mental well-being, consider enrolling them in family therapy sessions.
It's also important for them to know that, even though Mommy and Daddy don't love each other anymore, Mommy and Daddy still love them. And your split has NOTHING to do with them, and they have done NOTHING wrong, and they still have two parents and grandparents/extended family who love them very much and will always take care of them.
And, really, you ARE all still a family even if you and your ex are no longer together.