I have kept & bred C. moorii (blue dolphins) for many years - and IMO that fish does not look anymore sickly than any other beat up fish that is under stress.
Having said that, when buying from a LFS it is always a gamble, because pathogens and health issues are not always immediately visible, and only show themselves when the numbers proliferate. Ich is a good example, it can be in the gills for a period of time before one sees any spots on the fish. Fish gets stressed, from netting, bagging, and moving to a new tank - and BOOM, major ich outbreak in your tank. That scenario probably plays out millions of times a day, around the world.
Also, some fish are simply carriers of pathogens, never showing any visible signs of trauma or stress themselves, they have built up an immunity, but pass them off to other fish that have compromised immune systems due to stress, etc.
Your new tank IS your quarentine tank, and you need to treat it as such.