CPS Question

Location: NY

Long story but will try and make it as short as possible.

My fiancé and her kids live with me full time and see their dad who lives a few hours away every few months. My kids live with me 50% of the time and their mother the other 50%. There was an issue with my fiancés kids and their dad a few weeks ago and a police report was filed by my fiancé against the father and CPS got involved. CPS came to my house to interview her kids and said she might have to interview my kids and my ex-wife. CPS contacted my fiancé again and said they have to interview my kids and ex-wife since my kids live in the household with my finances kids. My kids and ex-wife have never met my finances ex husband and have no involvement with the situation at all. My ex originally agreed when CPS contacted her but now wants nothing to do with it and doesn’t want our kids involved which, I feel the same way. Do we legally have to let CPS interview them? They want to do it at my ex-wife’s house which is making her not want to do it even more.