Quite a few in the Canary Islands are heated during the winter but not all. It usually says in the hotel listing, or you can check reviews on Trip Advisor (filter by the time of year then search a key word like "pool" or "warm").
I made a shortlist of the following for this Feb. Didn't book in the end (we booked European Center Parcs instead) so can't give a personal recommendation, but these ticked the boxes for heated pools with waterslides, kids club, AI/half board, fairly good reviews. Our DC are all under 6 so might not be suitable if your children are older and looking for bigger slides or more entertainment.
HD Parque Cristobal, GF Isabel, Iberostar Waves Graviotas Park, Hovimar La Pinta Beachfront, most H10 hotels (e.g. Atlantic Sunset, Tindaya, Lanzarote Princess, Lanzarote Gardens though pirate ship pool not heated, only the main pool is), Elba Lanzarote, Sentido Aequora Lanzarote Suites, MYND Yaiza.