Sure, go for it. Wild animals have been snatched out of their natural habitat and kept prisoner in vastly inferior and more cramped quarters, solely for the entertainment of empathy-challenged humans, ever since there have been humans. Or at least ever since humans stopped eating every living thing they captured.

When you swim with dolphins they want to have sex with you (the indicator is when there undersides become pink), pretty much like a horny dog humping on your leg.
If you like that and it makes you feel one with nature, then go for it.
I think that might just be the feremones that YOU emit, RO. The "issue" that most tourists are warned about in advance of swimming with Dolphins in other parts of the world is that they might get excited and defecate on you.
Maybe it's your cologne, no?