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Evidently an allusion to the verbal subtleties of the Nicene Creed, and particularly the statement, "Jesus Christ, the Son of God, begotten, not made [i.e., not created], by the Father as His only Son, of the same substance as the Father, God of God ...", etc.
That Day of theirs: they had their Day on earth; they will have a different sort of Day in the Hereafter, according to the promise of Allah about the Resurrection and Judgment, or perhaps about Retribution in this very life! So leave them to play about with their fancies and vanities. Truth must eventually prevail!