It's a tender topic because of the controversy brought on by using cetaceans in shows. However, I live about an hour's drive away from SeaWorld Orlando, and in recent years, they've made changes to their shows to be more educational. They explain how the tricks that the animals perform can be used as a form of enrichment or stimulation to replicate behaviors in the wild. It's certainly better than swimming in circles. If that's the case, maybe there's an ethical way to have cetaceans do tricks.
Also, narwhals are incredibly difficult to keep in captivity. I think that it has something to do with their tusks, but you might have to do some research to double-check.
I'd honestly LOVE to have manatees and belugas. I just adore those squishy serotonin-inducers, especially when it comes to a beluga's squeaky high-pitched call and a manatee's overall wholesome nature.