It is grammatically correct to use "están volviendo" but we are asking in the Hint to "Conjugate volver in El Presente" (not El Presente Continuo). The reason why we are using the continuous tense in the English translation (that I understand could create confusion) is because it would sound a bit strange to say in English "The children return by plane with their grandparents.". In English something that is happening at the present moment is expressed with the continuous tense but the Spanish is more flexible and could be using the simple present, like in this sentence.
I hope this clarified it.
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