Why have whales and dolphins not evolved to have gills?
I think you're looking at this the wrong way.

Animals evolve to fill niches. Many, many land animals returned to the water as a place to live, including:


  whales, dolphins, porpoises, seals, sea lions, walruses, manatees, dugongs, otters, hippos, pygmy hippos, crocodiles, sea snakes, sea turtles, river turtles, river snakes, etc. etc. etc.


Their success in this environment points to no need whatsoever to "evolve" gills to be better suited. Without the interference of man, there would be yet many more of them.