Unfortunately, this could be down to bad parenting. My mum always got me to write thank you letters to her parents when they send me gifts, or to phone them up to say thank you. In my other grandmother's later years, I phoned her up every year to thank her for the birthday card and money she always sent me. She was always glad, and it gave us a chance to catch up.
It might be a good idea for you to explain to their parents that you would appreciate acknowledgement of your gifts, and that if you don't receive it, you will stop buying the gifts. Then you've made it clear what you expect.
Life is a two-way street, and children do need to be taught this. If they aren't, they are in danger of going through life failing to say thank you for things, and leaving a trail of resentment behind them wherever they go. When people put time/money/thought into giving things to people, it is disrespectful to fail to acknowledge it.
I'm not a parent, though, so what do I know? All I know is, my mum stopped buying presents for my cousins' children (4 children to 2 cousins) because they never said thank you. She only still buys presents for my brother's son because she made it clear to my brother than she expected a thank you whenever he'd received a present from him.