I don't think there is much difference. But "他们完全不会冷。" is more formal, meaning that they do not feel cold at all. You might want to stress "完全“ when you say the sentence to convey the meaning. "他们都不会冷。" could mean exactly the same but the intonation would be a bit different - you are more likely to say it in a surprising tone as it's more of a spoken language. Example: A group of girls wearing skirts on a snowy day. To express surprise, I would say to my friend: "他们都不会冷的吗?" (my intonation would be in a surprised and teasing manner.) Hope it helps!

这两句话都有“他们不会冷”的含义 “他们完全不会冷” --> 使用"完全"这个词去强调"不会冷"这件事，指的是他们没有任何一点冷的感觉 "他们都不会冷" --> 强调的是"他们"，指的是没有一个人觉得冷，所有人都不觉得冷

他们完全不会冷 They don't feel cold at all. 他们都不会冷 none of them feel cold.