Yeah, I think that may be true. It might be if they just choose that name over just plain old Windsor. Also I believe that Prince Edward is not styled as HRH rather as TRH, The Earl and Countess of Wessex, and there they choose for there children not to have royal titles. There childs name is Lady Louise Alice Elizabeth Mary Mountbatten Windsor.
"Their Royal Highnesses" is simply plural of "His/Her Royal Highness." You can see with other "Royal Highness" couples as well.
Edward prefers to be referred to as "Edward Windsor" on a BBC program that he narrated and produced. Here is a link refering to it:
http://www.baggas.com/blog/archive/2004/12/lord_nelson_and.html