Just read your "What happened" - good for you. :)
Given what I've observed, both as a kid and as a parent, the best thing to do is to stop trying to get them included. Really. You're trying to spare your daughters pain, but that isn't possible, and isn't even part of the job description of "parent." Your job is to help them understand, manage and cope with pain (and frustration, boredom, disappointment, exclusion and everything else we think of as "negative,") NOT avoid it.
Any older kids will resent being told they have to spend time with younger ones. Boys will resent having to include girls. (Girls will resent having to include boys, too.) If your kids are having fun on their own, though, happy without their cousins, the cousins might decide to join in with them. Of course, if that happens, they should be welcomed happily, but also expected to display decent manners. If the manners slip, send them away. If being around your kids is seen as a privilege instead of a burden, they might work at trying to earn it.
Focus your energy on helping your daughters play happily alone, with each other and in small groups, instead of expecting other kids to invite them in. It's a skill they'll need all their lives. Then help them learn how to welcome others gracefully into their play time, so they will never be the ones hurting someone else's feelings.