Please refer to my post here responding to the same question:
Technically, what matters is the country of nationality, not the country of birth.
So if your dependants are NOT the nationals of their country of birth then the certificate would not be required.
By the way, I am in the same situation for one of my dependants, and I am not planning to obtain the police cert from their country of birth due to them not being the national/citizen of that country (and never have been).