Frederika said in her autobiography that she and her husband spoke German together, and Greek to the kids, and English to each other if they weren't in the same room (shouting down the hall).
I haven't read her autobiography but she was famous for "embellishing" stuff and painting herself as perfect.
Sofia said in her autobiography that she and her siblings spoke in English with their mother. (Their nanny was also English or Scottish, she even attended Elena's wedding)
Sofia spent a year in a boarding school in Salem (Germany). She said (for her official biography) that she disliked speaking German because she wasn't fluent, I assume after the year she improved her German level but I don't get the impression that she's used it much since then.