The rain was not burning them off, nor did they have any jenova cells.
1- The rain did nothing to Kadaj. He was struck by numerous drops, to no effect. He faded because he, a shinentai, wanted to pass (Exactly like an unsent from FF10/-2). Loz and Yazoo did not want to leave but could not maintain themselves, and so fought to stay intact as long as possible
2- With Jenova cells comes reunion instinct- the ability to home in on other pieces of Jenova. The triplets did not have this instinct, and as mentioned, are Sephiroth's Shinentai, IE, will/ spirit energy made form. Their very lack of this homing capability was what led them to kidnap the children, so their reunion instinct could lead them to Jenova's remains.