Got a feeling that although its hot in the Canaries the sea isn't hot also although there are lots of nice hotels and apartments not many have heated pools, so you would need to pick a few accommodations and then make specific enquiries about the pools if that's important to you. Went to Costa Teguise once in May and the sea there is pretty shallow, so remember going in there and wouldn't have done if it was freezing, was the end of May though.
The pools in the Algarve always seem cold to me to - have been 3 times in July. At 9.30 in the morning they are a bit chilly and by 5pm at night a lot warmer (and busier !), then the next morning back to being cold again.