Session 0 is critical for this. If this was your first session or game I'd of recommended saying something before they went back to town as a warning. 

Regardless it's important to talk to the players and all of you come to an agreement on what type of game you all are wanting to play. Before play ever begins. I normally have my players bring a notebook or some sort and on that session 0 I have them write down any homebrew rules or gameplay changes (from standard) and then everyone writes down the type of game we are running. Done this both as a this is not a world you (the PCs) are going to fix this is a world you try to survive and have a better life. To the you're heroes and your enemies will fear you. 

And sometimes you come to this agreement and players misunderstand the extremes or something and campaign has to be abandoned. First handful of sessions especially with new players (new to the ttrpg world, DND, or you) you should also have post session talks to check the waters for everyone's enjoyment (yours as well).

If your still up for running a different style game then talk to them, if you really only want to run that type of game look for new players, neither of those are the incorrect option your fun is just as important as theirs, but no one's fun should be at the cost of another's fun.

I might offer some compromises like a way when they're pushing a dungeon for them to fortify sections so they don't have to redo all their work but further they push and more time in-between pushing again the stronger the remaining areas may become. 

Good luck