Personally I'd be working on building emotional boundaries with the kids.
I'd sit them down and make it clear the following is not okay:
For daddy to make you feel sad by crying in front of you.
Daddy is the adult and should be supporting you not you supporting him.
You are not to think you are responsible for making daddy happy. If daddy is sad then that's up to him. You don't need to feel sad for him.
Daddy made choices that have resulted in this situation. Only he is responsible for those choices not you.
If you feel sad because of something Daddy is saying it's okay to say stop it daddy.
His job is to be your dad. You are not his dad.
He's emotionally abusing them and they need the tools to stay safe.
I would definitely teach them to change the subject if it's uncomfortable or they are getting confused/sad.
One technique that I would practice with them is the spacesuit. I've read it on here and use it often when in stressful situations:
Imagine that you are wearing a space suit. It can be whatever colour you want it to be, and shiny, sparkly, fluffy, whatever you like. But it's a space suit and the important thing is that NOTHING can get into it. You can still breathe ok, and you can still feel the world around you; but NOTHING gets through it, NOTHING penetrates that space suit. It is completely protective. And you put that suit on whenever you are facing something difficult, when you're scared, or when someone might hurt you - you put that suit on and it PROTECTS you completely from the scary thing/person. No one else can see it, except you - and the better you can truly see it in your mind's eye, then the stronger it is.
Whenever you are wearing that suit, you are invincible. You are strong and safe, and you are fully protected from hurt or harm by others.