Some hedgehogs just do not like to eat fruits and vegetables. That is okay. I am glad your hedgies will eat the kibble and mealworms. I had one hedgehog who used to run away from mealworms... silly boy! You could try presenting one fruit or vegetable over and over to help them understand "this is food." Just leave it in their dishes overnight and see if they eat. If not, pick it out in the morning, toss it out (or compost it), and try again the next night. It helps to pick something you like -- for example, if you eat an apple or a banana most nights, then save a little bit to put in their dishes. Most fruits and vegetables that you eat are okay for hedgehogs - except for grapes. Grapes are bad; they can cause renal (kidney) failure.
You are right that the Royal Canin Kitten food is high in fat... You may be able to find something with a lower fat where you are. It is okay to have a higher fat food while they are young, but they will tend to put on weight and be unhealthy if it continues -- especially if they do not get enough exercise. How old are your hedgehogs?
I am glad that you removed the wood shavings. You are right that corn cob can also cause problems - dust, mites, and internal problems if hedgie starts to eat it. For those reasons, we use fleece. It is odd that some fleece was caught between their nails - could you describe it a bit more? I am thinking that, sometimes, with either very new or old fleece, sometimes you get little things that look like balls of fuzz or almost like a cotton ball that is torn apart (I'm not quite sure how to describe it)... and that can stick to feet... especially if the feet have poop on them. When that happens, I just pick the fuzz off. The dangerous thing to happen is if a thread gets wrapped around a toe. Fleece should not have threads -- maybe some fuzzies, but not threads.