Depends on the age of the kids mostly, but ours stay in the room with us. Mine aren't toddlers though, so how light/deep sleeping they are would dictate. My daughter was a heavy sleeper, my son was not, so we tried to stick with their routine. They're a bit older now (6 and 8) so it's less of a concern. Besides, after a day of fresh air and exercise on the slopes, some food and night time stuff, they are OUT for the count. Noise isn't a factor, and privacy isn't really a concern since we make adjustments with kids in the room anyways.
I suppose if we had an unlimited budget we'd get a 3 bedroom: 1 for each of them, 1 for me/wife. Not an option though, we usually go with a 1 bedroom condo. That still gives the pullout couch if needed for separate space.
Kids are resilient and adaptable; they'll get sleep. Initial excitement on the first night might leave them a bit tired, but the exercise and excitement on the second day will catch up and they'll crash pretty hard. Just try to keep things light and happy so they don't equate ski trips with being grumpy; they'll simply associate the two as linked, and end up hating skiing because they'll think it's a bad time. We try to make the trips more like "events" and breaks from school, seeing new things, experiencing new things, put a big positive spin on it. And the tired thing is then just a product of all the fun we had, not lack of sleep and kid-grumpy stuff. Subtle but important difference.....the kids don't realize it, but we see the potential in the future, so we try to get things off on the right foot each road trip.