Sounds as if you are going the right way with them. Make the change gradually with the hay. You did not mention grain – our racehorses used to get mostly straight oats (for energy, 100 years ago), and you would also want to change that some as well. Also, gradually. They are still growing babies, so check with your vet as to what they need to finish growing to be strong and healthy. You could also try using timothy hay.
It is never the horse's fault