This is even more true of animals like pigs. Imagine dogs living their lives out in kennels. Also consider the change in behavior in zoo animals when their habitats are redesigned to more closely resemble their native habitats.
That being said, I have no idea what it's like to be a penguin, or how much they suffer. I did watch March of the Penguins and it seemed the males huddling together deep in Antarctica during the winter were uncomfortable.
But as an aside, I’d argue that you’re bordering on the “Africans don’t mind the heat of the cotton fields” line of thinking to make ourselves feel better about owning slaves. Like with the animals, even the slightest bit of effort in the way of research will tell you that’s not true.
(but there are ~hundreds of similar vids if not convinced)
As an example, I once spoke to a person who thought the movie _The March of the Penguins_ was horrific because the penguins just stood there week after week in the freezing cold doing nothing. That may be perfectly fine for a penguin. It might even be like what a adept meditator would experience in a life of meditation.