It's great to be attentive to your birds, but I agree with Blingy and that because you are trying to make sure they are okay and getting enough sleep, they are actually staying awake to observe you. They will just be sleeping when you're not watching them, sleeping yourself or out of the room.
Try observe them from a greater distance away so they don't feel anxious. A cover on their cage will help them and you can either use a light cover or just partially cover them so they still get the benefit of the night light.
Try not to be anxious about their sleeping habits as they can sense these things.
As you've had your birds such a short amount of time, they wont have settled in properly. Once they feel safe, they won't be so worried about you being around them.