I think its something to do with the way the hay is stored. I rescued a guinea pig from a pet shop i worked in...i smuggled him out in box, he had a terrible mite problem and looked soo poorly.
I am not keen on the pre-packed hay just because its alot shorter and sometimes really prickly, and theres all that dusty stuff at the bottom of the bag.
I used to buy pre-packed but it turned outt really expensive, and i found there was a lot of wastage. I now buy hay from the local feed supply, i buy a whole bale (with 9 piggies it gets eaten really quick). They let you pick your own bale - so you can smell it so you know its smells good, and touch it so you know its not damp etc.
I hope you find hay that is suitable for your piggies soon.