When they start their turn in its area
Sleet Storm specifies (my emphasis):
If a creature starts its turn in the spell's area and is concentrating on a spell, the creature must make a successful Constitution saving throw against your spell save DC or lose concentration.
Just walking in and out won't be a problem. It's only an issue that forces a concentration save if they start their turn in the spell's area.
Older PHB printings don't have this text, but the special edition box set and all printings thereafter should include the V2.0 errata from November, 2018. This particular change appears as [new] in the linked document.