The kids are broken-hearted, yes. But they're not stupid. My T keeps telling me that the work is to get the kids internally inside themselves to understand that they are not responsible for their father's behavior. To have them go from "Dad didn't want to see me on Fathers Day, what's wrong with me?" To "Dad didn't want to see me on fathers Day, there's something wrong with HIM." Not in an accusatory way but in a way that they understand that it's not their fault and it may not totally be his fault either, there may just be something wrong with the wiring in him.
Yaaaaaaaas, honey. This exactly.
And I think this is one of the major building blocks for having healthy boundaries. Just because someone you have a relationship with thinks/says/does something doesn't mean you have to approve, go along with, or endorse their behaviors, OR go down with their ship. My son is a little bit older than these girls, but he gets it and has for a long time.
I read somewhere once that kids of NPDs usually go through a period of favor with the NPD parent until they're old enough to express contrary, differing opinions, or opinions that are unflattering to the NPD parent, at which point they're dropped like a hot potato. This happened with DS13 and it was HEARTBREAKING. We worked through it over a couple of years. He's figuring out how to manage life at his dad's house, which is limited by the visitation agreement, by adjusting his expectations and basing his expectations on facts and not wishful thinking.