Hi,
Much as I love my boys, I wouldn't dream of letting them sleep in our bedroom - that way lies madness
I guess they still think that you're available for play if you're in the same room as them. My boys know that when the light goes off downstairs that it's time for bed, and generally they go off without a fuss. They were more troublesome when they were young as they'd wake up really early and meow at the door but they seem to have picked up that they don't get breakfast till we get up!
Perhaps it's an age thing, but I think they really appreciate routine. I know even now, if we are out late at night (very rarely!) that we will suffer as the cats wake up when we come home and then won't settle down for ages.....
I know you'd like your cats to be with you at night, but really, it may be better for all concerned if they have a sleeping space outside your bedroom so they know the boundaries for playtime!
Good luck,
Teresa x