There is no law governing what you feel is appropriate in your own home. There are rules about sharing when you are renting a council house, but that is there to protect the tenant to ensure that they get the option of a bigger house. If you rent privately or own your home, you could all choose to sleep in the same bedroom, and unless there was a concern from an abuse point of view, you would not be breaking the law.
Other than them driving you up the wall because they dont have their own room, I don't think that there is a problem. Is there any way that you could set up some kind of separation so that they at least feel like they have their own space - even if it is only rearranging the furniture.
We luckily have enough bedrooms for my sons to have their own room, but they have chosen to share. We don't have the different sex issue though.
It should also be noted that when assessing if you have enough rooms, I am sure that councils view the living room as a bedroom as well.
Hope you get something sorted.