Dolphins have been observed to help fishermen in the Brazilian coast. It happens
in Myanmar too.
The thing about marine mammals is not only that they live in water, of course, but that true domestication implies generations of selective breeding. And that's hard, if not impossible, because it's very hard and expensive to maintain them in captivity, and also their migration patterns and social structures do not allow for that. Imagine trying to breed, let's be fun here, sealions, where males spent most of their lives building a harem (not leaving it even for food during mating season) and females either fishing or raising/protecting their offspring. They also can spend whole months in the open ocean. Not exactly a reliable pet. You could train individuals for specific tasks like the US navy did, but that's time consuming for a pre-industrial civilization ('there goes Erik again with his stupid sealions instead of fishing!') and far from domestication.
I
suppose you could 'shepherd' whales and other cetaceans. But once you kill them (you can't exactly milk or shear whales), they will quickly go away, and it's the same thing as hunting; not sustainable in time. Also, whales have long reproductive cycles. At a first look, I thought sirenians like the extinct sea cow and the dugong might have been 'shepherd' but their reproductive cycles are even longer than whales, and their population isn't in the best shape (the sea cows went extinct after mere decades of hunting. They also lived in remote Kamchatka. Dugongs and Manatees are also endangered).
Dolphins helping fishermen and sailors is a well-known trope, and I imagine it does not come from pure fantasy. They might be little bastards, but they are smart and curious, and they definitively have reasons to be friendly to the big floating fish full of more fishes.