KDE is a desktop environment in the same way Gnome, Xfce, LXDE, etc. are.
If you want the full integration of dolphin into the desktop .. it needs to be run in KDE.
I'm in NO way advising you to install KDE in Ubuntu .. it will pull in a TON of dependencies .. if you wanna try it out, best to get a LiveCD/LiveUSB of a distro that uses KDE4 by efault, such as Kubuntu (which will use Dolphin as the default file manager anyway).
Personally I can't stand Dolphin, or KDE4 .. but that's just me