Is it normal for two year olds and three year olds to be inquisitive about eachothers bodies?

I have a two year girl and a 3 year old boy and I also have a 3 year old neice that lives next door recently my 2 year old girl has been saying my neice tells her to pull her pants down and the she pulls her pants down sometimes too . Is this normal I mean I know to a certain point it is but when do you start getting worried as im starting to get this way because she has told me this on more than one occasion and I have told her mom she says its natural and she talked to her about it and we agreed for them to not be able to get out of our sight rather they are playing in my daughters bedroom or my neices but its still has happened again and now she my daughter has pulled her pants down in front of my 3 year old son . I have explained to her the best that you can to a 2 year old that this is ugly and you dont ever let anyone touch you down there. Normal to worry or what.