just taking a shot in the dark here....
Did you make a custom collision boundary (collision polygon) for the dolphin, & it has a pointy tip at the nose? I've had this problem before. The problem was that the player's boundary was just narrow enough to slip between the tiles (the islands, in your case), & apparently that counts enough to let it pass.
If this is the same type of situation, try making the nose tip of the dolphin's collision boundary/polygon a little wider....close to the width of the rest of the body. That should solve it.