the question of captivity is sort of complicated in the way it intersects with intelligence. humans don't live in our natural environments either, but it doesn't imply we're unhappy. dogs can be happy creatures as pets. drawing that line in the sand is really negating their intelligence level. you want to work a concept of choice in, but it's not easy.
the dolphin seems happy. it's not being aggressive. it's making "happy dolphin" sounds. that pool almost certainly connects to a bigger area. but, again, do you define your happiness in terms of how big your house is?