Splash pads is a new one on me, but of course now Mr Google has enlightened me, I know what you mean! I'd say the Dorset Water Park could be part of a wonderful day for kids as you have a steam train running between Wareham and Swanage in nearby Corfe Castle too; but beware a) the queues getting across the Sandbanks ferry, there and back, and b) potential for bad traffic jams at the t-junction just outside the water park at Corfe.
Farmer Palmer's is another place with other attractions for kids (farm/petting animals) on site.
Have a look at this website for more ideas:
If you're staying in Sandbanks, you have some of best free-range splash pads around in the beach there!
For other associated attractions: Rockley Park has a watersports centre with kid-friendly water activities in a sheltered part of Poole Harbour; Studland (Main Beach) has similar and possibly still beach huts for hire; and there is good rockpooling at Kimmeridge and Osmington Mills.
Good luck! It goes without saying that many of these places will be crowded during holiday times, so best to plan ahead and set off early if making a day of it.