Dependents are always required to file a tax return in their own name for income they earn from working. For a typical child dependent (under 19 or under 24 and a full time student) this does not prevent you from claiming them as a dependent.
But it kind of sounds like they have never filed before? They have been required to file in any year their income was more than $6200 (the amount has changed slightly over time). Not filing means that the IRS creates a substitute tax return in their computer system. which may or may not be accurate. And the IRS usually won't send a "you forgot to file" letter if a refund is owed, because they don't mind keeping the money. (They will send a "you forgot to file" letter if they think tax is owed.) If your kids had income over the limit in past years, they should file.
