I feel that the OP's boys have a right not to be seen by women in a men's change room. I think indicating that they should be the one to make concessions is unfair and puts it on them to adjust. If these were teenage girls and it were a man calling in people would probably not suggest the girls try to hide in the corner, etc.
I don't even think it has anything to do with predators it has to do with respect, the door says men only, it is for men, woman, regardless of their parenting methods should respect that.
I think the boys are fine saying "excuse me, this the male change room please leave". It is hard to say "get out" without raising your voice so "excuse me" comes off better.
I think if someone hears some screaming "help me" then it is okay for a woman to enter the men's locker room but if it ends up being a prank there should be a punishment as that kind of joking is not appropriate.