They know they exist. If you marked them and placed them in front of the mirror, they would notice the mark. This seems like something small, but itself is very different from most animals.
You are not factoring that there isn't just one way brains are built, that an animal's intelligence can be considered very abstract. You also got to consider the environment which both species are born into. One is filled with complex education designed perfectly so it will be remembered and used while the other is the complete wild. If you raise a human in such a way that he learns nothing but the wild, he would be far less smarter than someone raised in our current society.
I not saying dolphins are nearly as smart as Humans(or at least, an average adult Human), but the distance is a lot closer than you tend to believe. Most of what you are saying, with language and religion, is situational. Dolphins do have their own language, of the sorts, thousands of words expansive, with names for each other and everything. Far more complex than a growl or cry.
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