Yes, they all speak in their respective language and not a common language. The Scandinavian languages are very similar, and though they are not classified as a common language, they are closely related and can be understood as different accents/dialects of the same language. For the most part Danish, Swedish and Norwegian are understood across the three borders and nationalities. Quite a lot of words and grammar do differ between the languages, but since people from an early stage in some way or other is in contact with the other Scandinavian languages than their own, children learn at least some words and expressions that do not mean the same in all languages. There can be confusion and misunderstandings when what is being said in one language is perceived to mean something else than what the speaker intended, but for the most part the differences between the languages is a cause for jokes and humour. It is also common to mix the languages together, and can be used to bridge the languages together or just for fun. I would assume the same is the case between the three royal heirs.
On a side not note: since in many ways the Scandinavian people are very much alike and share both a common history, language and a strong feeling of kin-manship, we do like to make good (and on occasion bad) natured fun about and with each other. At times, it might seem that we do not get along, especially if the name-calling and bickering get very vocal and loud. It is like between siblings really, with rivalry, competition, respect and love.
