The user "Matt" posts an argument that your children are not speaking German because they do not like to speak it, but rather that they are not completely fluent in it. I'd actually like to offer a counter argument to that: I myself was raised with four languages, and have since observed my mother raise another child with the same languages. I'm also raising my own child doing the same. Additionally, my first language is not English, English happens to be my fourth language.
My experience as a child was frustration. I detested speaking German in an English speaking country, and the grievance was purely down to context. I remember telling my mother once that I would only speak German in Germany, and Afrikaans in SA.
It got to a point where, at around seven or eight I began to completely ignore my mother when she spoke to me in anything other than English, in England. after a few months of this, she eventually gave in (I was a very stoic/stubborn child) and I felt much more comfortable. The merit to all this is that I began to enjoy my other three languages much more, even going as far as to very occasionally drop a word or two in Afrikaans (my mother tongue) at sporadic points.
I'm very glad that the remainder of my childhood was spent as such. I can't explain, even now, why I felt so uncomfortable speaking languages in "the wrong country", but I witnessed the same issue with my younger brother. Our mother adopted the approach of using English most of the time with him, but took the time to teach him German as well. He has no issue with spoken or written German, but I could see the obvious change in character when he was spoken to in a language not native to the country he was currently in.
So, in answer to your question? I think you should respect that they feel more comfortable speaking German. I would naturally ensure they can speak and understand Danish, as its obviously a very important part of their heritage, but neither would I suggest that you "ram it down their throats", as they will likely begin to resent both that side of their culture and you for doing it.
Now that I think about it, perhaps I can offer an explanation:
The majority of young children and young adults dislike the concept of being different, or standing out too much. Many people make the mistake of thinking that they do not want to stand out at all, however this is not the case. Most want to have a sizeable proportion of their lives reasonably similar to their peers, and it is only once they begin to mature a little that they begin to explore other aspects of their lives.
Obviously, there are those who adopt radically different lifestyles and mentalities from an early age, but the majority of people do not. It is perhaps for this reason that we dislike foreign culture being applied to us at this age, particularly if it is a person whom is as close to them as a parent. The very thought of being vastly different (and remember, vastly is a considerably wider term here) makes them recoil, and causes embarrassment amongst a multitude of other emotions.