All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger. We ask Allaah to exalt his mention as well as that of his family and all his companions.
Islam has forbidden establishing an affectionate relationship between a woman and a marriageable man, even if this man is a Muslim, let alone if he is a non-Muslim. It is an obligation to advise these girls by any means which would not cause matters to become worse. For instance some righteous woman can be put in charge to remind them about the evil fate of this abominable act. If threatening to inform their guardians would do any good, do so.
Allaah knows best.