The cooling system is a countercurrent exchanger. It’s cool (heh) but it’s not highly complex; it’s basically just proximity of veins and arteries, with outgoing and incoming blood kept close. Don’t get me wrong: it’s interesting. But it’s not an elaborate “cooling system”–it’s just an altered arrangement of blood vessels so that cool blood from extremities flows near testes in cetaceans. The system did not have to be invented by cetaceans, since it’s a conserved mechanism in all mammals, used most famously in the kidney (to concentrate urine) but also in the skin and the core. This has been known for a very long time. Its genetic basis is just being understood: a 2015 paper in Developmental Cell showed that a signaling protein called Apelin is necessary for the artery/vein patterning that creates countercurrent exchange. Mice lacking the protein (or its receptor) have problems with thermoregulation, and this tells you that the suggestion of a unique cetacean “cooling system” is wrong (more accurately, it’s uninformed).
APJ Regulates Parallel Alignment of Arteries and Veins in the Skin