We send TU card/letter if giver is not there in person. If they are thanked at the time, then not - although it varies - if a bit of a frenzy so didn't thank properly at the time might.
I personally think it is just a question of manners, and showing appreciation. Thought has (in most cases) gone into the gift, and it's about recognising that. It also lets them know that the gift arrived safely.
I can understand OP why the demand might strike you as odd. It would me too. It could be your in-laws being controlling, or it could just be them reaching out, or feeling left out a bit. Who knows.
It's a pain in the butt, and, in the circumstances, don't give in and write a card if you don't want to. As your in-laws stayed for Christmas and saw them play with their presents, it really isn't necessary. But I would avoid turning it into a battle. Perhaps drop them a very short line yourself (or better get other half to) referring to how much they enjoyed Christmas, and their presents, and what they are up to now. Or phone. Don't make an issue out of it. If they bring it up again, just say they really liked the presents and that you thought they thanked them in person.
It may be if your in-laws don't see their grandchildren often, then may welcome a postcard or phone call from them or something from time to time. Perhaps you could encourage your children to send them something at some other time. But really you are not being unreasonable and , if pushed, I think it is quite in order to explain you only send TU letters where the giver was thanked in person.
Don't create a rod for your own back. On the other hand, ask yourself whether it is worth the agro. My guess is that it's about more than just the TU cards.
Your children are still very young. Mine discovered the ability to send post cards through the post online - which is what he now does on holiday - not the cheapest option - but yours could send a picture of themselves saying how much they enjoyed seeing their grandparents and telling them what they are up to now. Don't refer to the gifts if you don't want to - but could IMHO be £2 well spent if it heads off any friction and doesn't create a precedent.
But, no, YANBU if you just ignore.