Besides lacking thumbs, dolphins would also have a pretty hard time harnessing fire as a tool. This probably truncates their tech tree severely.
I keep reading about this, and I don't see it as a major problem.
Sure, it might take a while for them to even grasp the concept of fire. Much like it took us a while to grasp relativity.
However, once they know it to be possible, it's an engineering problem. They can build their forges above water. Holding breath to operate them (until they can do it remotely) is inconvenient but they are pretty good at it.
There's also a fair bit of construction they could do without even resorting to that. Humans can weld underwater. They could too.
Nitpick: Dolphins breathe air.