I've been twice to Shanghai in winter (late december both times). Generally, it might not be the *best* time to visit, but it's definitely better for me than the peak of summer, and I would (probably will ) visit back at that season.

The cold is decent, similar in my experience to what would get in western/southern europe, and seldom negative - not like in Beijing, for example. I've personnally never had issues with pollution - but maybe I was lucky with the dates I was there !

Indeed, cities south of the Yangtze generally do not have central heating, but that won't impact you if you are staying in hotels. Many apartments in Shanghai rely on reversible air-con during the winter, so that really should not be an issue