i grew up there, and went to european school (go for that over luxo schools, unless you really want your kids to learn luxemburgish..?)
i loved it as a child, and hated it as a teenager- couldnt wait to get the hell out of there. i hated the fact that although very international, it was completely homogenous in terms of class and wealth, i hated the small minded, expat community type life, and i was desperate to live in a "real" place. Lux is so perfect it's like Disneyland... except of course it's not, but you see what i mean.
however most of my classmates are back in lux and loving it, it is extremely easy to get a job, jobs pay very well, quality of life is sky high, everything works, children have a great time, you are within driving distance of many great places. my parents loved their time there (they are back in my home country now), and i can see it is an idyllic place to bring up a family.
it has also changed a lot in the last 15 years- back then we had to go to france to buy a decent and decently priced pair of shoes, now there's lots of great shops etc.
personally i think Bxl is a million times better, but I think even with all the "issues" i had with Lux as a teen, i would still go back for the quality of life....
good luck, and congratulations on landing a EU job btw