We want to sit with you. Nana and Gramps have rules that conflict with freedoms Mom and Dad allow. Nana and Gramps calmly repeat the rule. They don't acknowledge, argue, or pass judgment on the parent's decisions. You repeat the rule simply, firmly, and consistently.
Children learn to nag because it pays off.
Grandparents are probably bigger softies than parents. Children discover if they nag hard enough, long enough, and loud enough, the grandparent often gives in. Giving in even once makes children to continue to question discipline. If you choose to complain or ask about this again, I will go to the store alone. This approach to discipline and rules empowers children.