During the early stages of embryo development, dolphins have gill pouches. What does this mean?

This means the dolphin is an vertebrate.

Explanation: Gill pouches are the structures which are present in all vertebrates in the embryonic stages while it is present in fishes and amphibian in later life also. It is thought to be the ancestral structures present in vertebrates. These pouches are then converted to lungs in the later life. For the water animals they are used for respiration. They are actually the muscular walls containing respiratory lamellae on its inner side. Hence in dolphin they are signs that dolphin is an vertebrate.