For the sake of fair play, yes I agree that if it is double hit, Greysia/Kevin should admit that to the referee. However, if we switch places, and let's say Zhang/Zhao did hit double hit, would they admit it? I think none of the players nowadays if it is not "for sure" double hit will admit they did double hit.
Also, Zhang/Zhao did not blame the players though as what I have read in local news, Zhang blamed the umpire for not accommodating his concern (take a video replay for example). Umpire argues that the challenge (video replay) is only allowed for the shuttle that hit the ground not double hit.
My personal opinion: Doesn't matter if it's double hit or not (because unseen double hit can happen to any players, at any tournament), players should just let it go and keep focus and concentrate in their game. As far as I remembered, similar situation happened in World Championship last year in China too, and Zhang/Zhao similarly complain to umpire (maybe for another reason, not double hit). If you play better than your opponent, one point injustice lost would have been no problem.