Yes, I suspect you had to cherry-pick a dimension in which dog and dolphin are closer than dog and cat. That would defy conventional wisdom justifies that dogs are closer to cats than to dolphins, but that's also modeled by word vector embeddings.

In the metric space, the distance between dog and cat might be lower than dog and dolphin in many dimensions, but higher in this specific one. A general distance function will have to take all of the dimensions into account, not just those cherry-picked. So the conventional wisdom _and_ your personal belief are both accounted for, and in the context of training "dog" and "dolphin" might be more similar.

I still suspect that's not actually true, and I'd be really surprised if a survey of users found dog and dolphin to be closer than dog and cat in _any_ dimension.