"So, what do you think they are doing when they say grace? Are they talking to themselves?"
They are speaking to the deity they believe in. They are individuals, with the right to believe in whatever they wish. It is none of my business, and I am not harmed by their prayers in any way.
I love my in-laws. I would not dream of interfering with their beliefs. They know I am an atheist, yet they love me all the same.
Would that were the norm.