Some of this sounds normal, i.e.:
They come and go as they want.
(but, yes they should update you with where they are going/when they will be done)
Order Deliveroo all the time
OK maybe not ALL the time but quite normal for teenagers. They should work and pay for it themselves.
Don't tidy their rooms and hardly clear up after themselves
Normal . I have learned not to go into their rooms and they have therefore learned to tidy them!
Constantly have friends over.
Something I have always encouraged, why would this be a problem?
They go out and never tell me where they are and never answer their phones so I worry constantly where they are.
Not on. Disrespectful.
They use my gym membership and DS2 uses my debit card.
How have they obtained these? Remove them.
I want to take them on holiday this summer but they both refuse as they want to hang out with their friends.
Fine, understandable.
DS2 plays a lot of football so I drive him to endless football matches - he never says thank you and tell me I'm embarrassing him if I watch the game. He'll glare at me if I ask him something and refuse to answer. None of the other players are like this and all seem kind to their mums.
I wouldn't expect a thank you for taking him to matches. I used to love watching my son play football and would ignore him being embarrassed by this.
I also drive him to school every day as his school is far away, it takes me 30 mins then and 50 on the way back. Again, never a please or thank you.
Again, I wouldn't expect a thank you for this. It would view it as my duty as a parent to get him to school if it isn't local.
The older one now goes out most nights at 11pm to 12pm and comes back around 3am. Apparently he is playing basketball then goes to the gym. I fell asleep at 1am last night then woke up at 3am and realised he was out of the house. He came back at 3.30am then stayed up until 6am so obviously then missed the entire day of sixth room as he's asleep.
This is a worry. One of my children did go through a phase of meeting his friends in town in the middle of the night. Always came straight home when I woke up and realised. The phase stopped.
What did I do wrong in raising them?
Don't be so hard on yourself. You have worked really hard.
It won't be a popular opinion but I would lower my expectations; stop expecting so much effort and gratitude from them. You won't get it all the time you ask for it. They may see you as constantly on their case about having friends over, not thanking you, not tidying their rooms etc.. And they will rebel against this. Give them less to rebel against and let them be.
They do need to understand how important it is that you know where they are.