It depends how long they were outside. This is considered "black flag" weather in the military which means you can still go outside, but watch yourself. If you run, do not overdo it and stay hydrated.
Ask them what their policies on really hot days are. Maybe they have a time limit? Certain activities they will not do? Especially being in the humidity they sweat more, so how often are water breaks? Do they get cool water? Really cold iced water doesn't hydrate your body as fast as cool or room temperature water. I'm sure the heat advisory is a warning not to overstretch yourself and to cautious about how long you stay outside and what you do.
You can still be outside, but they MUST stay hydrated, have some breaks, not be out too long, not be overly active (sports games, etc), MUST have sunscreen on, and the daycare workers have to know how to look for kids going into over heated mode before they become a heat casualty.