which is correct

It depends the time between you're saying this and Timmy's instruction.

If Timmy's instruction to them is on today (this morning) and they have not done now (afternoon) - i.e. same day, then the correct statement is:

They have not done what Timmy has told them to do.

If Timmy's instruction to time "was" yesterday and they still have not done it now (today), then the correct statement is:

They have not done what Timmy told them to do.

So, both can be correct!