My gut is telling me something is not right when my kids are with the ex... 

About 8 weeks ago, my 14 year old daughter started cutting herself... she became depressed, angry, moody, etc. She wears long sleeves or sweaters and jeans even in 100 degree heat. She takes every opportunity to NOT be at the ex's house (she is his step-daughter), staying w/ friends for days on end during the summer... all weekend when school is in session. She was failing classes in school... acting out... (Keep in mind, he lives in a one bedroom apartment, and shares a room with her and our son... she sleeps in her own bed, my 9 year old shares a bed w/ dad.)
She's in counseling, and during a session indicated that she wanted to live with my mother in Arizona, however she was "afraid" to tell her step-father. We all (her, myself, ex) went to another session, where she explained what she wanted to do... my ex refused to allow her to go (we have joint custody). His reasoning was that 1. my mother bribed her into making this decision, and 2. once she was in AZ, she would be "kidnapped" and never allowed to come back or contact him again. Nothing the therapist said seemed to make a difference to him.  Meanwhile, my daughter is crying, with her back turned to him, hunched over... My lawyer doesn't think the judge will change the standing custody  order because my daughter "wants" it to change. 
My 9 year old son had also made suspicious comments... (he was masterbating and giggling on the couch at my mother's house, when asked what he was doing, he said "its a game he plays with his dad".)
Child Protective Services says there is not enough to investigate... so know what can I do?