Why are princess Annes children last in succession?

Out of the Queen's immediate family, they are last due to primogeniture.

The Queen's eldest son is the first in line, and his children come next, before his siblings, or their children. Sons will go first, even over older daughters (meaning a daughter is usually heir 'presumptive', a newly born male sibling will supplant her) but a daughter will be closer to the throne than her parent's siblings, if those siblings are below that parent in the line of succession. So Prince Andrew's daughters come higher than his younger brother, Edward.

The Queen has four children; three male, and Anne. Anne is therefore after all her brothers, and all of their children, male or female, and Anne's own children come next after herself.