GiftsAs a child, I honestly didn't know how to accept a gift graciously or well. I tend to be very direct, honest to the point of bluntness, and I've always been this way. As a child (really until I was an older teen, but I've always been socially inept) I could not really wrap my head around the difference between an acceptable and an unacceptable lie. I always thought that the truth was preferable, even if it hurt people. In part, I know that this had something to do with my own personal ability to percieve the truth more readily than my peers, and with my own desire for knowledge and understanding. The way I saw it, lies only really counted as lies if the person listening to them didn't know that they weren't hearing the truth. I was very concerned with truth and justice and fairness, much moreso than with politness.
I guess what I'm saying is, I can relate both to your embarassment as parents and to your childrens' tendancies to express themselves honestly and directly, with little apparent concern for the feelings of those they may offend. I was exactly the same way. I suppose it's lucky that I was rarely given gifts of any kind.
Interestingly, this problem hasn't come up with BeanBean. He's still very young, but he seems to be far more concerned with the way that people feel than he is with the reality of any given situation. His social skills are better developed now than mine were at 14 (honestly; I'm not trying to exagerate about either of us ) and he really seems to empathize with others. He hurts when others are hurt, he wants to make it better. If he were to recieve a gift which he did not enjoy, he might (at this age) make the faux pas of letting his displeasure be known, but he would immediately be aware of the reaction of the person who gave the gift and would probably apologize, if not offer hugs and kisses. He doesn't like to offend people, it hurts him as though he himself was the injured party. I'm not sure where he learned this, I think that it must be part of his own innate personality because he certainly didn't inherit it from me.
I don't think that it's teaching, I really think that it has a lot more to do with a child's inborn personality and their own priorities. For me, it was very important to tell the truth at all costs. I've learned better, and when I'm out and about in public (or even on the net) I make an effort not to hurt people. I'm not great at it, but I try. I have managed to outgrow my tendancy to be blunt, or at least I've learned that bluntness does not always serve as well as a less direct approach might. I think that your kids will get there, too. In the meantime, why don't you try roleplaying? Perhaps actually stepping into the shoes of the people they offended might help them develop better tools for dealing with unwanted gifts.