FinFin´s are said to have evolved from a creature equivalent to a dolphin on Earth, but they are smaller and rounder than dolphins, and the most crucial difference is their legs. Dolphins' legs evolved into tail fins, while FinFin´s have separate legs and tail fins (^_^;).
Considering this, it does not seem likely that they simply evolved from what we call dolphins on Earth. Or rather, it seems likely that the "creature equivalent to a dolphin", which is said to be the ancestor of the FinFin, is itself quite different from dolphins on Earth.
So, I have come up with the following hypothesis to try to solve the mystery of FinFin´s.

"The Age of Early Small Terrestrial Mammals"

Earth's dolphins evolved considerably on land before returning to the sea, but TEO's dolphins returned to the sea relatively early. Specifically, (in Earth terms) right after the transition from worms (or rather birds or dinosaurs) to mammals. This corresponds to the age of small monotremes.
If you look at the platypus, you can see that in addition to its four legs, it has a separate tail that evolved into fins. Also, since it is oviparous rather than viviparous, the fact that the FinFin has a separate caudal fin and that it is oviparous (According to reports, FinFin´s are oviparous) is thought to be a carryover from this early mammal (small monotreme). Even though

this creature was terrestrial, it may have been a creature that lived on the seashore, such as Ichthyostega. It was also quite small in size.
It laid its eggs in nests on land.
Platypuses on Earth have poisonous spines to protect themselves from enemies, but the platypus does not have such a system. Instead, it is thought that it protects itself by its agile movements and by changing its body color to blend in with its surroundings.

"Evolution into a marine mammal"

Originally a sea creature, it moved back into the sea in search of abundant food.
Here, it evolved to be about one size larger, but unlike the case of dolphins on Earth, it already had an organ equivalent to a tail fin, so its legs did not evolve into tail fins, but evolved into its own leg fins. On Earth, it took an evolutionary direction similar to that of the ichthyosaur Ichthyosaurus (that is, it had four fins that evolved from its limbs, and a separate tail fin).

During this period, this creature was larger than it was in its terrestrial period, and its appearance was similar to that of a dolphin on Earth. However, it was about two sizes smaller than a dolphin. Another characteristic is the presence of leg fins that dolphins do not have. It
needed to swim fast to escape predators in the sea, so the ratio of its overall height to its overall length was a spindle shape close to 1:5, which allows it to achieve the highest speed in the water. In addition, a dorsal fin developed on the back for streamlining, and the pectoral fins also developed large for streamlining (like sea turtles on Earth). However, unlike penguins and sea turtles on Earth, they did not flap their pectoral fins in the sea, but rather the propulsion came from the caudal fin and leg fins, and the pectoral fins were only for streamlining when turning and for moving backwards (like plesiosaurs probably were).
(This is clear from the fact that modern FinFin use their caudal fins to propel themselves in the water and their legs to float, never using their wings for propulsion.)

This period was quite long, and during this time the cerebrum also evolved and they became highly intelligent. In addition, for communication underwater, an oscillator developed inside the lower jaw, allowing them to communicate using ultrasound, whistles, and clicks (the cackling sound that FinFin sometimes make. Dolphins on Earth also communicate using whistles and clicks). As the oscillatory organs developed, the original ears became smaller and degenerated.
This development of the oscillators in the lower jaw gave them a function similar to ultrasonic radar (or sonar). (This would later become useful for flying in forests and woodlands without colliding with trees.)
However, when laying eggs, they would come onto land like sea turtles to do so.
Because of this, they came onto the shore several times a year, and their original structure as marine creatures would not be able to support their own weight. However, because they originally returned to the sea when they evolved from birds or dinosaurs into primitive mammals, the internal structure of their skeletons remained hollow, and compared to other common mammals, they had a sturdy and very light skeleton, so even when they occasionally came onto land, they were able to move relatively nimbly while supporting their own weight. (This was the foundation for their later advancement into the sky.)

"Advancing from the sea to the river"

Until then, they had been living in the sea, but gradually moved to the river.
Perhaps they originally had the habit of swimming upstream to spawn. Or perhaps they had a huge natural enemy in the sea, and since there are no huge creatures in the river, they may have fled to the river. In the river, where the range of movement is limited compared to the sea, it is more advantageous to be able to change direction quickly rather than swimming at high speed when escaping from a natural enemy, so the body shape changed from the previous 1:5 to about 2:7 (about the same as the current FinFin) and became more rounded overall. This sacrificed some speed, but in return improved their maneuvering ability.
(This is why FinFin sometimes shows agile turns while moving underwater.)
The overall size became about one size smaller, about the same as a cat on Earth. (The tail became shorter as the height-to-length ratio changed.)

"Advancing to the riverside"

Furthermore, it moved from the middle of the river to the riverside.
Originally, it may have had the habit of laying eggs on land, which may have been the trigger for it to move ashore.
If it moved its food source from water to land, it would become a target for terrestrial carnivores. Therefore, it used the complex rocks on the shore and the trees in the forest to search for food while protecting itself from predators.
Eventually, its main food shifted from fish to nuts, and in order to adapt to these conditions, its legs, which had once been turning into fins, began to reverse evolve back into legs.
This time, unlike its previous legs, it evolved into "fingers" that could be used to climb rocks and trees and grab nuts.
As a result, its already highly intelligent nature was further spurred on by the fact that it now had relatively dexterous fingertips, and it acquired a higher level of intelligence.
The color of the body is basically that of a dolphin, but in order to hide from the surroundings, in some cases, it has a color-changing function that allows it to use protective colors to match the surroundings. This is thought to have been the case since it lived in the sea.
In particular, when it was immobile on rocks, it may have changed its color to match its surroundings in order to deceive the eyes of its enemies.
(Even now, when FinFin is sick, it turns gray, which may be a remnant of the function that allowed it to change to a less conspicuous color to protect itself when it is immobile.)

"Acquisition of flight ability, and the birth of FinFin´s"

Even though they began to move on land, they could not stray too far from the shore, as they would have to jump into rivers to escape from predators in case of emergency. As they jumped from rocks into the water, their originally large pectoral fins eventually spread like wings and evolved to glide.
As the pectoral fins became more wing-like, the gliding distance gradually increased and their range of activity gradually moved away from the shore.
As this period continued for a long time, they were no longer able to simply glide, but were able to gain lift by flapping their wings and fly on their own.
Their strong and light skeleton, originally hollow in structure, was of great help in this. Also, unlike bird wings, which evolved from a single pinky bone, wings evolved from fins for underwater activity have the evolved skeleton of several fingers inside.
Therefore, although they do not have feathers like birds, they have acquired a mechanism for generating lift by complexly deforming their wings when they flap, and by combining this with high-speed flapping like a hummingbird.
To accommodate their terrestrial lifestyle, they originally had fine fur, but this evolved to develop smooth, soft body hair (Confirm by touching the giant FinFin (^^;) ), which becomes a blue to green color to serve as a protective color in the sky above the forest.
By expanding their range of activity to the sky where there are fewer predators, they are able to actively protect themselves, so the protective coloring that they once had through color-changing function is no longer as necessary, and it eventually degenerated, but since that function remains to some extent, their body color sometimes changes due to some trigger, such as their physical condition.
(The body color changes due to ripe Lemo, colored Lemo and moon overlap are remnants of this.)
...In this way, they continued to evolve from the seaside to the sea to the river to the riverbank to the forest to the sky, and after many years they acquired high intelligence, and the current FinFin was born! (^-^)