Children don't seem to go to a Gym on their own.
I've made a Pool lot, and often times when I go there, Child Sims will file in to play at the Pool.
It can be a good place for your Children to make friends and work on their Motor skills.
I don't know if it's a good idea to have a Pool lot loaded during Cold Weather though.
Not sure if townies are smart enough to not dive into a Pool when it's cold out and they're at a Pool-type Lot.