You'll likely want to engage Family View (which is Steam's Parental Controls) on their accounts, then you can restrict their account in one of two ways...
A) Restrict their access to the shop -- This would prevent your children from purchasing games until they clear it with you. You would have to temporarily disengage Family View to process the purchase (as your children can still view the store listings through their web browser).
B) Restrict access to their game library -- You could allow your children to purchase games as they like, but would need to get your permission before you would allow them to play said game. If it's a game you don't agree with, you can block their access to the game. HOWEVER, you would have to review their library on a case-by-case basis for EACH PURCHASE (as Family View will not automatically permit a game to be added with this restriction).
Steam doesn't have any rating-based controls because of the various content rating systems in place (ESRB, PEGI & CERO to name the common ones) & they're currently not acknowledging the IARC (International Age Rating Coalition) ratings standard (which unites the major rating systems for international consistency). It's something you can likely request in future updates (but don't hold your breath on when it'll happen).
This might not be the most desirable option to impose on your children's accounts, but it's an option you can utilize.