I would be a bit annoyed too op. They're within their rights to let their children do it but that doesn't mean it's not inconsiderate.
Our neighbors have LOADS of BBQs in their tiny outdoor space (not a garden exactly, just a tiled area big enough for a couple of chairs and a small table for 2), right below DCs room. Smoke floods directly into my baby's room every evening which can't be very healthy and the room permenently smells of smoke. They might not realise that's my baby's room, but even if it wasn't, I still think having a BBQ so close to someone else's property isn't very thoughtful. Because of the way the houses are situated, there isn't really anywhere else for the smoke to go. We don't speak to them much and what they're doing is not illegal, so I've not said anything about it.. but, personally, I wouldn't (and don't) have BBQs with such little space, because thick smoke is intrusive and undoubtedly impacts on others when it's very close. Of course I would be entitled to if I wanted to, but I don't, out of respect for others. And I love BBQs, i might add!
Similarly, I would never make a load of noise in my garden on a week night, or let my children. Again, I could if I wanted to, but it's a time of day that most people are winding down and I respect that.
Unlike seenoevil, if I specifically knew my neighbors didn't like noise at certain times I would most definitely try to be quieter at those times, as I would hope they would have the decency to do for me if that were the case.