The new serendome opened a few days ago, so that will be worth exploring.
My DD has been to a few children's events (buzzy bumbles , and shelly's messy mayhem) and really enjoyed them.
Definitely venture out to Tenby, Narbeth and the surrounding areas. There are the usual big high street shops in Haverford West so handy if you want to stock up.
Our usual day is: morning spent in the Blue Lagoon, back to the lodge for lunch, then we spend the afternoon exploring the woods, going to nearby beaches, folly farm, pop into soft play on our way back to the lodge, then eat either in the village or in the lodge.
All the lodges are child friendly with high chairs, nappy bins, Ikea plates, bowls and cutlery they've also all got travel cots. There's no laundrette on site so if you're likely to need to wash anything bear that in mind.
I prefer it to Centre Parcs, it feels calmer somehow, and I especially like tootling around in the golf buggy.
Hope you have a great time.