I know there are things like giant and bandit attacks and the like, but is the self-built-home the only place the kids can find pets? Or will they come to you with them even in cities? And is there anything else you miss by not building your house? It just seems much more simple and straight forwards to buy a childrens room for whichever house you end up with as Thane.
It also makes shaky roleplaying sense. You are a famous hero at minimum, if you do quests, or Dragonborn at most. You have cultists, assassins, and all manner of things out for your blood - and your families. So, you go and build and poorly defended mansion that sticks out like a sore thumb, far from any guards or allied soldiers, and stick a single companion on guard duty. Any genre savvy character might be a bit leery of gaining the 'family tragically slain' backstory, complete with regretful housecarl dying in their arms as they return too late to help.
At least the cities are (generally) walled, full of guards, who love you as Thane and are fellow soldiers if you win the Civil War, and the Jarls genrally owe you personal debts. Plus Whiterun also has the benefits of the Companions, Riften the Thieves Guild, and so forth. Anyone who attacks the Harbinger's family will soon regret it. Anyone who attacks the Nightingales family will likely walk straight into a house with no lights on, hear the door lock behind them, and find themselves surrounded by some very pissed and previously informed thieves.
Hm. Thoughts?