I got mine in Dubai Mall, on the ground level where all sports shops are. The store is called K2. Paid about AED 950 3-4 years ago, they were 40% off.
Haven't heard about classes though.
You can buy all sorts of excellent rollerblades at Decathlon, Mirdiff Mall. They have staff members there who will fit the correct size/style and allow you or your children to test them out in the shop. My girls were flying round the shop for half an hour!