YOu told her it was OK to be excited. Did you also tell her it was OK to be angry, fearful, anxious? Just from what you've written it sounds like you have been wanting her to react differently than she is reacting. It's important to let her feel however she feels and to not tell her how she should feel either in words or by questioning and analyzing her reactions.
When you say "they" do you mean both of your daughters are in Utah? Does sleeping everywhere except at your ex's mean that they are not spending time with their father? This is upsetting to the kids. I suggest that you suggest that they come back home. At least talk with your ex and emphasize that the girls need to be with him and have his attention. Suggest that having a new baby is difficult for him as well as his daughters and that if they're not spending almost full time with him, his wife, and the baby they are being displaced by the baby and/or wife. They know, no matter what he thinks/says, that they're no longer as important to their Dad as his new relationship and baby and that this is damaging to them.
Have you talked directly with either girl on the Phone? I'd recommend calling everyday that they're staying away from their father, to let them know you miss them and give them an opportunity to talk about what they are feeling about this arrangement. Ask, are you having fun? What's the most fun thing you've done so far? What's the baby like? Do you get to help? You could ask about food and bedtime if you suspect that their needs aren't being taken care of.
Is this a grandma that they already know? Do you know her? Sounds like you don't know the aunt. You could call and talk with them just to get to know them. You could ask how the girls are doing. They'll understand a mom's need to know such things.
How long are they staying with their Dad? I hope it's not for the summer. I think that most psychologists would tell you that putting them in this situation long term has the potential of doing emotional damage. They have lost their father as they know him living with them. They have a new step-mother and then add a new baby. Any one of those is stressful by it's self. That is just part of their stress. They're too young to understand what is happening. Maybe they're with Dad because MOm doesn't want them. Maybe Dad doesn't want them either since they're not staying at his house. If the new wife has any animosity even just mild animosity that prevents them from staying in their home the girls will pick up on the feelings which will add to their feeling unwanted and guilty of something.
It is important for you to talk with your ex and find out what is going on, especially if this is a rest of summer thing or even if it's a one month thing. More than a couple of weeks is too long for 4 and 5 year olds whose parents have recently divorced. They haven't experienced the back and forth of parenting time. They are still feeling insecure because of the divorce. And insecure because of the new baby. I don't know you, your ex, his new wife, your kids and I'm worried for them. If they were my kids or grandkids I'd be walking the floor because of anxiety. YOu need to find a way to find out what is actually happening back there and if it's not going well to bring them back home.
When they do get back home I also recommend that the girls have someone who is intuitive and able to draw out feelings to talk regularly with. This doesn't have to be a pshychologist or even a counselor. A family member or friend could do this. If you belong to a church some of them have good people with whom to talk. Your girls definitely need to talk openly with someone who will encourage them to express their feelings and give them validation. If family relationships are strained then that someone should be outside the family.