My boss's dog, Rocky is the same way. He's a golden retriever and as skinny as he can be. Yet tons of energy. I agree with what wolfsoul said:
Alot of dogs are also in tune to what they are allergic to and will refuse to eat a food they know they are allergic to. I think Rocky's got an allergy to corn. When I tell my boss this, he just laughs. Some people just think dogs are meant to eat kibble, period. But it's gotten to the point that he has to feed the dog something else b/c the dog just won't eat the kibble.
That is strange that the dogs won't eat the same food at their own house that they will eat at yours.
But as long as their energy holds up, that's the main thing.