Android KitKat Bug With Default Browser Actions
This could just be a shortcoming in Dolphin. It's up to the app to decide if it wants to open a new URL itself, or offer it to other apps. Last year, Firefox had a similar problem, that it wouldn't ever offer a chooser when you clicked on a link in Firefox. Even a link to a YouTube video would open the mobile interface in Firefox instead of offering to open the YouTube app.

From your description, it sounds like Dolphin has the same problem. (I don't have Dolphin to test this myself.) You should report it to the developers and ask them to offer video links to other apps. At least they should be able to confirm whether this is what's happening.