Hi,
It is possible, that since the children didn't live in the same state, and didn't see their father day-to-day, that it may take a little longer for the reality to set in.
Growing up, my best friend was raised by a single mom. Her mother fought cancer for a long time. She had to seek treatent at a hospital over 3 hours away and would sometimes be gone for weeks. (My friend stayed with my family.) She was 15 when her mother died.
Years later, my friend told me, after her mother passed, and the immediate shock and grief, wake and funeral were over with, things seemed to go back to what was "normal" to her... it just felt as though her mother was "gone," again, like she had been so many other times, when she went to the hospital. I'm sure she was in denial at the time, but she said it took a long time to realize her mom wasn't coming back this time. She also told me she went through a time of being angry with her mom... angry because she left her, angry because she didn't fight harder, surely, if her mom had cared, she wouldn't have left her. It was a long time before she accepted reality and came to terms with the death of her mother.
Anyway, I tell you this because your SIL's children will return to their daily lives in another state, and life may seem "normal" to them for awhile. It may take longer for the finality of his death, to become a reality to them.
Be there for them now, through all the formal proceedings, and when the are missing phone calls and visits with Dad, but also, be there for them in the future, as they realize all they will experience in life... graduations, weddings, the birth of their children, etc., without their father to share in their happiness or sorrow.
If your SIL notices signs of trouble, outside of what would be consider normal under the circumstances... extreme acting and lashing out, withdrawl, deep depression, etc., she should consult her pediatrican or school counselor.