I would question the accuracy of the information in the delphinario Varadero link. The claim that "Most of the dolphins who perform here were born at Delfinario," seems suspect to me, particularly in view of Cuba's ongoing wild capture program (I've seen one of the boats, so this is not fiction).
In any case, imprisoning dolphins is "cruel & unusual" punishment. The best analogy I can come up with is to imagine you are confined to your bedroom all of the time and must greet visitors with kisses and feigned affection, or you do not eat. That is the fate of dolphins "working" at these facilities.
Dolphins are intelligent mammals, and in nature they travel many, many kilometers per day. Keeping them in small pens (which interfere with their echo location) and feeding them dead fish (when they would normally never eat anything but live ones) is inhumane, at best. If you truly "love" dolphins, you will not contribute to their imprisonment with your tourist dollars.