But should they have appeared?
NO!
They are the elected representatives of the Scottish parliament, and answerable to them alone. They are, as is The British Prime minister accountable to their own house, and in no way, shape manner or form are they accountable to any other house.
Can you imagine George W Bush being, former President of the USA being called before a select committee of parliament?
Ridiculous.
UK politicians are in no shape, way manner or form accountable to the USA, and therefore should refuse on principle, refuse to appear before any committee of any elected body there. The same applies to appearing before the EU parliament or any where else. The reverse is also the case, I would expect an elected US politician to refuse the same.