If you feel like your kids are doing just fine, I think going to therapy with them would be overkill. A therapist will take a while to figure out whether something is wrong. If nothing is wrong, it's a huge waste of time and resources. It's not like with a doctor where you go in and are out 15 minutes later with your blood results.
It also sends the message to your kids that you don't know how to tell whether they need help, that your family needs outside intervention. I'm not sure that's helpful.

What I'd instead suggest would be to sit each of your kids down and explain to them separately what kind of things run in your family, what it means to have depression or anxiety and how to tell whether you might struggle with it. Of course each time age appropriately. Make it clear to them that if they feel like they struggle with anything related to emotions, they can come to you. Also stress that they would not need to tell you exactly what's wrong, that you'd help them find a therapist where nothing is shared with you that they don't want. Show them you are somebody who would help. Try to tell them that they don't have to be ashamed if they have such issues.

After these conversations, check in with them from time to time. Ask how they are doing. Also, try to teach them healthy coping skills in general and how to manage emotions the way you have yourself learned in therapy. These things are helpful, even for healthy individuals.