The Winter Gardens is less one building than a whole ecosystem of Blackpool entertainment: theatres, ballrooms, halls, corridors, bars, and decades of conferences and shows. The Opera House and Empress Ballroom are the big names inside.
It is worth seeing a performance here if timings work. Otherwise, keep an eye out for open events, heritage tours, or anything that gets you into the interiors, because the scale of the place is part of the point.