Oh, don't "have a word" with him about social units, necessarily--I'm assuming you'd do it in a not-particularly-chastising way, but even so...
First, I'd start by asking questions--how did it come up? Did they say, "Oh, she's welcome to come too"? And get some background.
Maybe say that it's not fair to him, or to you, for invitations to be carried that way, because he doesn't have the same calendar as you, and there will be an inevitable delay, etc. And that you'd prefer to feel that you were included more deliberately, and not just as a leftover reflex or "oh, she can come if she'd like." And that the two of you need to train his family to decide what sort of terms to be on. And that you're totally OK with it if they don't want you bad enough to actually invite you directly; that you think any reluctance to do so on their part means that while they like you, it's not a natural relationship.
As for them, just say, "Oh, hey, Yorgle told me. I will/won't attend. It was nice of you to think of me. But I wanted to ask--can you contact me directly on any invitations like this? I try not to ask Yorgle to remember to carry messages for me, especially now that we're divorced and we aren't sharing the same social calendar."