"I work in the cyber security industry, and I can tell you over the years, I've seen kids - including my own - do things that first-world government teams and crack white hat groups could not have done any better. Give up now.
There is no app, no operating system, no proxy, scanner or firewall, and no setting that will ever defeat a determined kid. Plus, they work in groups, and are able to coordinate even better than their adult counterparts to find and disseminate new hacks. It's an arms race that cannot be won with technology. You find a setting, they find a workaround. Apple updates, they find a new weakness.
Take their phones. Put them in a box. Sit on the box and guard it. Maybe buy a Faraday bag or something. Watch them cry and talk about how they'll be social outcasts and their friends will mock them, or moan about how they need it for school to check the Facebook page their teacher posts assignments to. Turn a deaf ear. Know that you are helping them just like our parents were when they made us eat vegetables (which you know, are actually pretty darned good - thanks, Mom). "