There are different ways on how to deal with this all of them valid. You will have to choose for yourself what fits right for your group and game.
Depending on what your game and preparation allows, adjust the adventure to give players actions more significance.
This will reward your players for their effort and I find that it generally improves the quality of the story.
You can do this by:
Inventing additional clues and secrets to push them in the right direction:
It seems your players missed some plot clues for this adventure, that happens often. You could invent new ones that are more on the nose. (Maybe the lord actually works with the with, or maybe there is a secret tunnel that leads from the mansion to the forest.
Giving the players a cool reward: You could combine this with the previous point. If you want to keep things as they are, you could add something interesting but unrelated to the mansion, maybe a magical item or a bit of lore that could serve as a plothook for future parts of your campaign.
Actually changing the adventure so that the children are actually in the manor: This might be difficult to pull off, but if you are not too attached to your prep, you could just change things around so that the children are actually in the mansion. I usually prepare very loosely for my sessions and often find myself changing up things a lot to fit what my players are interested to great success.
Be frank with your players and lay your cards on the table.
Sometimes players just completely misunderstand what’s up, are as a GM just don’t want to, or can’t use any of the previous options. Or maybe you did and the players didn’t get the hint.
There is nothing wrong with leaving the character for a second and telling your players that they are chasing their own tail. It may feel weird, but if the alternative is that they are going to spend several hours wasting their time and they keep ignoring your hins, doing this will prevent larger disappointment further down the road.
As MooingDuck pointed out in the comments there is a way to do this without completely breaking the character. If there is crucial information that the players should have figured out right now, you can just give it to them. Have them roll intelligence or other relevant check and award the highest roll with the info, or just give it to the character that has the best predispositions to figure it out based on their statistics. You roll to do almost everything in DnD, it’s fine to allow your players to roll to put together clues and give them the solution if they succeed, especially if they are really stuck and flailing.
Especially if you are a newer DM and are not very comfortable with improvisation, this can help ease the stress of running the adventure and starting to panic when the players are just oblivious to what is going on.
You probably don’t want to do it too often, so you don’t railroad them whenever they trail off of a beaten path though, so be cautious about that.