How would the police be able to help you? In Oregon, custody issues are considered to be civil and the police don't get involved at all unless safety is an issue. However, even if they could get involved I don't see how they could help you. They couldn't go pick up the kids for you.
Can you not get a friend to take you to their location? How about taking the bus? You can have the police do a stand by when you get there, not to help take away the kids but to be there to prevent violence.
However, it sounds like your ex is willing to have you pick them up. So, it's your responsibility to find a way to pick them up. Even if there was an order addressing this issue, if your ex didn't follow the order, you'd still be left with having to pick them up. The police do not pick up children in custody situations. It's up to you to pick up the children and return to court to ask for help. (note: the police may serve a court order to help you pick up the children but they don't do the actual pick up.) I suggest that you're confused about the legal issues in this situation.
Sounds like you want the police to pick up the children and bring them to you. Think about it. That is so unreasonable an expectation. I suggest that if their father wants them gone and calls the police and you don't pick them up the police may pick them up and put them in foster care.
BTW: Until the court issues a new order the old one still stands. Having submitted a request for a change does not change the first order and does not, in fact, change anything.
You need to talk with an attorney to find out exactly what your rights are and how to enforce them.