OK, honestly your family (mother-grandmother) does not have emotional-biological ties to these soon to be step-children. They may NEVER feel the exact same way that they do for their grandchildren. I think it's unrealistic to expect them to have the exact same feelings and connections. You really can't force that.
It sounds like they just need to work on not being so vocal and obvious on treating them different. I sounds like when she thought on it she changed her mind on the Christmas amounts. That is only fair.
Thanksgiving dinner is really a hectic place to be addressing these issues, but I would definately talk to her about at least treating them the same and let her know you understand she may never feel the same or have the same emotional-biological connection as with your birth children.....but it could be harmful for the step-children to hear or see her treat them any less than your children. It's not the kids fault that they are in that situation.
Your fiancee is just going to have to understand they may never have the same feelings for his children, that it's nothing personal and you are addressing the issues of any rudeness or inconsideration towards his children.