Oh the ignorance in this thread...
There are a LARGE number of naturalistic cetacean exhibits if one bothers to put even a slight amount of effort into searching.
In North America alone, Orlando, San Diego and Georgia both have quite nice beluga exhibits, with faux rockwork and substrate, and all are mixed exhibits with harbor (and at Orlando harp) seals. Mystic and Vancouver (while they had them) were also quite natural with rockwork, etc...but not mixed exhibit.
As for Dolphins, virtually anything in the Florida keys is natural. Dolphin Research Center, Theater of the Sea, Dolphin Connection, Dolphin Island Care,Dolphins Plus Bayside and Oceanside are all very nice seapen or natural lagoon facilities, with natural substrates, rocks features and fish coming and going from the enclosures. A couple of other facilites in NA (Dolphin Quests in Hawaii and Oahu, plus their Bermuda location) are very similar, being very nice lagoons with all the same things as above. Georgia Aquarium, the Mirage Dolphin Habitat, Seaworld Orlando, Miami Seaquarium and Aquatica Orlando also all have decent exhibits that have false rockwork or reef structures in them as well. There is also Discovery Cove and Epcot, and these two in my mind are quite distinct. Discovery cove is a series of three LARGE manmade lagoon with natural substrate and faux rockwork, and Epcot is a large and DEEP tank with natural substrate, false coral structures, and a large number of fish free to swim in and out of the dolphins area through a divider separating the dolphins from the sharks, rays and turtles.
As for the rest of the world, like others have mentioned, Nuremberg has an EXCELLENT exhibit, with natural substrates, rockwork, false "kelp", and mixed with California Sea Lions. Both of Duisburg's cetacean exhibits are quite nice, their Boto is in a lovely freshwater basin with fish, and their Bottlenose have a rather nice tank with lots of faux rockwork. The Dolfinarium Harderwijk also has an excellent outdoor lagoon, with a large variety of natural life (sponges, anemones, fish, inverts, etc..) and natural rockwork and substrate.
There are many more examples, however the where the first to pop into my head and I feel like it gets the point across.