The answer is in your post; both your parents are very entitled. What was your childhood like?. My guess FWIW is that you got most of the material stuff but emotionally they fell well short as people.
re your comment
"I always have to travel with a packed car to see them, both me and husband work and have to use all our annual leave to see them or we would never see them again"
Stop doing this with immediate effect. Bending over backwards to further seek their approval is a waste of time as they will never give you this, they are not built that way. It also sends a really poor message to your children; i.e keep trying to establish some form of contact with nasty people even though you're getting nowhere with them.
Pull back and further reduce all current levels of contact with your parents. They are not worthy of you or your own family unit if they behave like this. Why would you want to see people, albeit your parents here, who put you down a lot?. It makes no sense. Would you tolerate this from a friend, unlikely but if not ask yourself why.
What are your boundaries like when it comes to your parents?. If your H's parents are nice, and importantly, emotionally healthy then concentrate your efforts on them.
It also seems that you are the scapegoat with your sister being far more favoured, I am presuming she lives a lot closer to them. They are probably also pissed with you that your DD is still not christened.
You will ultimately need to grieve for the relationship you should have had rather than the one you actually got.