Dolphins are aquatic creatures of intelligence and tend to be social. They can be quite playful and are able to have a darker side.
The dolphin teaches to go out and play, to have fun and to get fresh air. There is nothing wrong with having fun, and it can be a method of helping let go of whatever worries there may be.
As a mammal of the sea, the dolphin requires going up above water to breath air and as such asks to learn of deep breathing. While breathing is important, the dolphin sees importance in deep breathing and wishes for it to be useful for others.