Opening the scene in which Lady Macduff and her son are slaughtered with them talking to each other serves several purposes.
In relation to their slaughter later in the scene, their conversation introduces them to the audience and allows the audience to get to know them. This, of course, makes their deaths that much more horrific. We may be especially drawn to Macduff's son, who comes off as intelligent and witty, if a little bit stiff. The murder of this child then demonstrates the heights Macbeth's treachery has reached.
Through their dialogue, however, other purposes are accomplished as well. The question of Macduff's leaving his family unprotected is raised by Lady Macduff. She is angry at Macduff and can't believe he would leave them unprotected. Malcolm of course echoes this sentiment when he at first doesn't trust Macduff in Act 4.3, citing his leaving his family unprotected as possible evidence that he is in league with Macbeth, and therefore his family is not at risk.
The son's words in his conversation with his mother also further the theme of the unnatural, fair is foul and foul is fair, and opposites. The liars, as he points out, certainly are more numerous than those that are not treacherous. Virtually everyone in the play except the Macduff's are acting throughout the play, putting on a false face.