Princess Beatrice and Princess Eugenie just want to focus on "protecting their own children" following their father's arrest

A source told PEOPLE: "They're trying to stay away from it. They have young children, and this is their grandfather - their focus is on protecting their own children from this.

"That has to feel like a complete betrayal. They're heartbroken - but a dad is still your dad, and a mom is still your mom. Love for a parent isn't a light switch. It's an incredibly painful and introspective moment for them."

Princess Beatrice married Edoardo Mapelli Mozzi in 2020. They have two daughters, Sienna and Athena, while Mapelli Mozzi also has a son, Christopher Woolf, from a previous relationship.

Princess Eugenie tied the knot with Jack Brooksbank in 2018, and they have two sons, August and Ernest.

Beatrice and Eugenie's parents Andrew Mountbatten-Windsor and Sarah Ferguson, the former Duchess of York, have faced increasing scrutiny over their friendship with the late convicted sex offender Jeffrey Epstein.

Meanwhile, Andrew was "released under investigation" around 11 hours after his arrest.

Thames Valley Police released a statement, saying: "Thames Valley Police is able to provide an update in relation to an investigation into the offence of misconduct in public office.

"On Thursday we arrested a man in his sixties from Norfolk on suspicion of misconduct in public office.

"The arrested man has now been released under investigation.

"We can also confirm that our searches in Norfolk have now concluded."

Following his arrest, his older brother King Charles, insisted that the "law must take its course".

The 77-year-old monarch said in a statement: "I have learned with the deepest concern the news about Andrew Mountbatten-Windsor and suspicion of misconduct in public office. What now follows is the full, fair and proper process by which this issue is investigated in the appropriate manner and by the appropriate authorities. In this, as I have said before, they have our full and wholehearted support and co-operation.

"Let me state clearly: the law must take its course.

"As this process continues, it would not be right for me to comment further on this matter. Meanwhile, my family and I will continue in our duty and service to you all."