The modern shopping mall is distinguished by a single financial entity which owns the land/buildings, provides shared infrastructure (e.g. parking/power), and rents it all out as a package to many mostly small tenants. Enclosure is an optional feature. Later in life I lived near one of the earliest US malls built on this model - Shoppers World in Framingham, MA. It was not enclosed. It was basically a ring (or maybe more of a figure eight) with two stories of balconies over a shared courtyard. The familiar enclosed structure came later.
Ironically, Shoppers World itself became unable to compete with the newer enclosed Natick Mall across the street, so it was torn down. Now the name persists, but it's basically a big parking lot with a dozen or so isolated big-box stores around the periphery.
It's cool to imagine alternate uses for existing malls, but I'm guessing the best thing to do would be to demolish them, then convert the land to small, dense housing developments.
This could be said about most real estate, I think.
A lot of indoor malls are dying. I can remember when the same empty places exploded in the 90s.
The reality is the cold weather doesn't really bother people who are use to it. I'm happy to spend time outside jumping store to store because I'll be dressed appropriately.
Across the border in Vermont, some of the strip malls have a glass-enclosed front layer for similar thermal protection.
I spent a large chunk of my formative years in a desert climate in the southwest. The sort of place where you would try to stay in air-conditioned spaces as often as possible during the summer. The regional mall was a huge air-conditioned enclosure where people would go just to sit around for hours on end with the occasional stroll through a department store.
In the 30 years since it first opened 2 of the 5 "anchor stores" closed. Other than that it's just been plugging along. One of the reviews I recently read for it was, "A great place to go when you're in a desert and need a mall."