I don't really like KDE, so of the environments I've used, they don't use Dolphin. You can install it otherwise, but it tends to be buggy. Part of it too is that when you open/save a file in Windows, it effectively gives you a file explorer. There are some apps that roll their own, but on Linux basically all of them roll their own. A lot of the times they lack features like simply being able to create a new folder when you are saving something.