I live next door to my in-laws.
There are good times. There are bad times. More good than bad, though. It can be very nice to be so close for baby sitting purposes, for practical purposes like visiting without having to take your entire house with you in the car etc
, and for just getting out somewhere when you need to.
And it's comforting knowing you have people close by who could step up if you needed them to, like if you were taken ill or something.
On the downside, it's very annoying to have 'oh, we popped round earlier but you were not home. Shopping, were you? Out visiting?' type of questions. And if the are there often, your MIL will see the non-tidied version of your home, and how you live, which can feel like and boundaries are being knocked down whether you want them to be or not.
Of course, all this depends on the people involved. How nosy/private you are, etc.
I do find it slightly odd that they didn't bring it up in conversation beforehand. Maybe they are relying on you being grateful for it after the fact, which you may very well be.
Put down ground rules, but for you and them. They probably value their privacy too. It could work really well. Totally depends on the personalities involved.