Dolphins seem to despawn (not die).
My experience: I created a pool to dolphins with air and water. I name tagged them. After I walked away (like 50-100 blocks) they despawn and left nothing behind them. Also if you stay with them and time passes by like 5 (irl) minutes, they despawn. They leave no exp or items. They just disappear. It doesn't matter if they are in the sea, pool, the biome doesn't matter, neither does the weather or if there are one or multiple dolphins.
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We're tracking this issue in MC-27535, so this ticket is being resolved and linked as a duplicate.
That ticket has already been resolved as Fixed. The fix will arrive in a future version or is already included in the latest development version of the game; you can check the Fix Version/s field in that ticket to learn more.
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