I hope this is self-explanatory, but when I sprint or swim in the water (Ctrl + W) in Creative Mode, with at least one dolphin within pretty good proximity of me, the dolphins don't follow me around nor simultaneously grant me with the "Dolphin's Grace" effect. Therefore, it is impossible to swim with Dolphin's Grace in Creative Mode unless you use /effect command.

This has been since a certain 1.14 release, not sure which one.