My step-daughter has kept her surname and her husband had no issues with also taking her surname. They have kept his name, almost as a middle name, so not hyphenated. E.G. Blogs Smith, not Blogs-Smith. It's unusual but not unheard of.
A friend married someone with a very common surname so they hyphenated with her surname to make it a bit different.
Don't be offended at their decision, but maybe suggest using both surnames with hers as the last name, as my stepdaughter has done.
Being a mother-in-law is very difficult, don't start off upsetting them at the risk of making it difficult for you to have a good relationship with your new daughter-in-law.