The trainer said it tickles them. To get more information, look up Sea World on the web. They are like people . When you first meet someone, you don't go right up to them and touch them on their face. Until you are familiar and comfortable with someone you usually don't let them get too close to you.
Dolphins are the same way.
They don't appreciate strangers touching them on their faces. Once they get comfortable with you they don't mind it. After being in the pool with the dolphins and their trainers, the dolphins got used to us and let us touch them and play with them. Oh ya, one more thing, dolphins love to play catch with basket balls. I enjoyed interacting with them in this way.