Cetaceans are supposed to be very intelligent, but since a lot of animals in Foenum are already sapient maybe their mental capacity would step up to the next level and become full-fledged psychic powers. A character would be a dolphin esper who flies around with psychokinesis.
That said, I don't really like the idea of dragging cetaceans to the war between grass-eaters and beef-eaters just because they are technically ungulates. I don't think a sapient furless, fish-eating, fins-rather-than-legs dolphin would think of itself like an ungulate just because some obscure ancestry. That is, if it knows about that ancestry to begin with. Man took hundreds of millenniums to learn about his true origins.
Also, I kind of like the idea of the ocean of Foenum being an almost completely separated universe. Sapient aquatic animals would have their own interests and conflicts and don't really care about dryland matters. Similarly, I don't think land ungulates would care a lot about waterbound predators like sharks and orcas (that happen to be technical ungulates too), though they probably would be afraid to go near to the shore.
The underwater world has a lot of potential in itself.