Say please don't give them x. But take a treat you approve but don't give at home. Also leave some of their healthier snacks for her to give them. Including their water cups.
You need to be straight up honest with her. I have to do that with my mom. I'm sure your grandma means well but this a bad, bad habit and you need to put a stop to it.
Sounds like she wants to spoil them like grandmas do. Maybe give her some money so she can bring them to fun places instead ie. zoo, museum, toy store, etc. and tell her it's to take them places, not for ice cream.
Re: Too many sweets at Grandparents!