1. They don't know about anything outside of their VR world. They could have made up fairy tales or religions about what could have possibly created their world. They would be completely unaware about our existence. This could be our case - we ourselves don't know if we're living in a simulation.

2. They have been able to infer enough from the peculiarities of their reality to suspect they are living in a simulation, and that there are beings which have created the simulation.

3. They know they live in a simulated world, built by us. We made contact with them and told them all about our world and how we made their world.

You can argue that, in the first scenario, something that "does not exist" is not "material" or "natural". But this would be strictly their ignorance or misconceptions. It does not change the reality that both we, and them, are material beings. In fact, if you insist on this argument, you might already be assuming that our world is not entirely material, because it would follow that our subjective opinions define reality.

Scenarios 2 and 3 clearly allow the possibility of them perceiving us as equally material beings.