My DP split from his ExW when the kids were the same ages as yours. The eldest is sensitive and a thinker too.
I wasn't around when they split but we have had to deal with DP moving in with me etc.
They had tried to keep things as normal as possible for the DC. DP works shift so they were used to him being out of the house. He used to go to the family home most evenings when he wasn't working, have tea with them, put them to bed etc and he was living at his parents. DP, ExW and the kids would still have family days out.
I met DP and after a period of time, I met the DC, they knew I was Daddies girlfriend and we got on well. ExW was positive about me to the kids as we all get on well. DP continued to see the DCs as much as possible, going round for tea still as he couldn't have them at his parents very much due to FILs health.
When DP moved in with me, his DS only then realised DP was never moving back to the family home and was very insecure for a while. He was clingy with his Dad and pushed me out, whereas previously we got on really well. DP and ExW told the DCs together that DP was moving in with me and did they have any questions etc and at the time, he was fine. It was a couple of days later that it became apparent that he wasn't happy. He kept asking when didn't DP move back home instead.
DP and his ExW had tried to keep things so normal for the kids that DS hadn't processed what it all meant and he couldn't get his head around that DP could move in with me, but not back to the family home. DP talked to him and things did settle down and everything is great now, but as much as you want to shield your DC from everything, personally I think you need to make sure they know what is happening, in an age appropriate way.
Don't force them to talk if they don't want to, but make sure they are comfortable talking to someone if they do have questions.
It's been over 2 years since the split now and the DC are happy and secure.