it's interesting what you wrote in the dialogue with the kids. But I think your answer is right in front of you with that last question, and answer from the kids.
If D&D is an escape from your reality, to explore the lives of some other person and their world. These kids are doing that, they are escaping from their reality... where rockets and goblins keep attacking every day. And here they just want to get away from that, by finding a place where the goblins don't attack, and the rockets don't drop nearby.
You're not doing it wrong. But they are telling you for sure how they wish to proceed. So cater to that desire if possible. But keep the looming presence of the goblins in the background... instead of the kids fighting the goblins.. instead have them find allies... the noble pegasus riders who just need to be persuaded. As well as the Centaur Tribes, have them help unite them. Not to mention the Gnome Mages, who are in their strange square towers. As well as the dwarven iron-breakers in the Broken Hills. And the Treants of the great forest, with their elven unicorn riders.
Make it fantastic, but try to get them to find help, since they aren't looking to fight the goblins themselves. And remember, the kids said what they wanted.. to find someone to protect them. Help turn it magical again.. and this would be a great story.