The correct answer is B. We have that closed systems do not exchange thermal energy with their surroundings, so A is wrong. The Law of Conservation of Energy applies to all systems, regardless of whether they are biological or not; even organisms are made out of atoms and that is what matters. Hence D is wrong. C is wrong because the energy is dispersed afterwards, we cannot recapture it, even though it is there. B is correct; the energy of the dolphin gets converted into various forms like sound energy of the waves, thermal energy (the movement of muscles produces heat) and kinetic energy of the waves. The total sum of energies equals the energy output of the dolphin.