No one plays winter ball for fun. Some of the Latin players do it because it's a force of habit and enhances their star power at home regarding endorsements. Otherwise, remember, to these guys, baseball is a job.
A force of habit? Like taking siestas, or overthrowing the government?
Most players now claim to take two weeks or a month off, then start their off-season workout regimen. I would think actually playing against other major leaguers would be as good or better than lifting weights. Plus, one can enjoy the weather. Learn another language. Immerse oneself a culture one had been previously ignorant about.