The Macduffs represent, together with the intimate portrayal of the Macbeths' marriage, the human, domestic elements in a play otherwise concerned very much with the inhuman: the supernatural, and with the grandeur of rulership, and the mythology attached to kings and heroes.
There is a powerful emotional impact created by having actually seen them as human figures on the stage.
Without the scene (4,ii) in which we see Lady Macduff and her son, their murders would simply have come as a report from Ross in the next scene (4,iii). The fact that we have seen them, and seen them killed, lends a horrible dramatic irony to the following exchange:
Macduff: How does my wife?
Ross: Why, well.
Macduff: And all my children?
Ross: Well too.
The audience knows they are already dead. We are now primed for Ross's terrible message, and for Macduff's grief, and the violence of his 'he has no children' (4,iii, 16) which could at one and the same time refer a) to Malcolm, urging a simplistic cure (revenge, action) for Macduff's grief when he has no children of his own and thus cannot understand; b) revenge on Macbeth being impossible in a like for like way, because Macbeth has none; and c) if Macbeth had children (ie, heirs) he would not have slaughtered others.
There is also surely the fact that Lady Macduff dies believing her husband to be a coward or a traitor - (her son resists this idea at the end to the Murderer) - a terrible but inevitable consequence, and one which we need to 'see' for this irony to be apparent.