The by far most important thing you learn in school is being social. That dwarfs everything else.

Yes, being bullied sucks but keep in mind that your kids will have to meet other kids as well, and if they are homeschooled they are going to appear weird just because they don't go to school and thus don't behave the same in crowds as everyone else does (trust me, this gets noticed instantly). That alone is basis enough for being bullied and that will only make them retract even more to the comfort of your home - and that could arguably be even worse than being bullied (in the long run).

Any kid that gets bullied is of course a serious problem and should be dealt with as best as possible (although it is a very hard problem to solve).