Do you think that George and Lydia from "The Veldt" are fully aware of the setting they are in or not?
If you are referring to the end of "The Veldt," then yes, George and Lydia realize that Peter and Wendy purposely locked them in the interactive nursery in the veldt setting. Bradbury writes,
"And then [George and Lydia] heard the sounds. The lions on three sides of them, in the yellow veldt grass, padding through the dry straw, rumbling and roaring in their throats.
At this moment, George and Lydia recognize that not only have their children chosen to trap their own parents inside the nursery but that they also want their parents dead.
Just in case your question refers to an earlier part of the story, Lydia seems to realize the seriousness of the veldt setting (that her children have chosen), but George does not. He marvels at the technology of the room and even laughs at his wife when they are chased out of the room and she is frightened. Lydia keeps pressing the issue with her husband because she realizes that her children are not afraid of being in such a setting. But, by the time that he is truly willing to do something about the nursery, it is too late.