I've been veggie for over 30 years, married for nearly 20. My in laws are very nice. Recently, my in laws have taken to sending my a selection of cheese from posh cheese shops for my birthday and Xmas. The cheese is not cheap. Each box probably costs about £30 -£40 for 4 cheeses. However, usually most of the cheeses are not vegetarian so I haven't eaten them. This Xmas, my DH asked my in laws to make sure the cheese was vegetarian. A box of cheese has just arrived. It looks fantastic but again, only one of the four is veggie. I will only eat this one cheese. My DH will probably eat all the rest of the cheese.
So I haven't said anything to the in laws other than thank you very much because it seems incredibly rude to do anything else. But on the other hand, they think they are giving me a brilliant present but it's really not. I feel like they are wasting their money as I won't eat the vast majority of it. And from looking at the shops website, they could easily have bought veggie cheese. So not saying anything seems stupid.
So, YANBU - Of course you shouldn't say anything other than thank you very much. It's the thought that counts.
YABU -Of course you should tell your lovely in laws that if they buy you cheese it needs to be veggie cheese so they'll just keep wasting their money.
And yes, I totally appreciate this is a first world problem.