I presume it is because we have taught them a language, but they have not chosen to teach us. They may not have any reason to do so.
I think it might be that dolphin don’t have any body language that we can recognize.
We can make hand gestures and facial expressions.
Dolphins lack these abilities.
Like the transcript mentions, the dolphin trainer used sign language to tell the dolphin to take the swimmer to the surf board.
Dolphins lack hands and arms to respond in kind to sign language even though the obviously understand it.
Maybe dolphins could come up with a waggle language like honey bees.