The sound is so excruciating that whales will surface too fast and get the bends
Whales don't get "the bends" (in the sense of decompression sickness). When they dive, they stop breathing (Doh!) and the air in their lungs rapidly compresses until their lungs have collapsed and the air is in the (relatively non-absorbent) bronchae and cranial air passages. Then, when they come back up, there isn't the excess of nitrogen dissolved in the blood that needs to exsolve and forms the bubbles that cause decompression sickness.
What gives human divers decompression sickness is that we breathe air while we're at depth. That allows our bloodstream to equilibrate with an effectively unlimited supply of nitrogen at depth, whereas the whales (dolphins, seals, penguins, etc) have only the one pair of lungs full of air to equilibrate against.
Don't worry, you're by no means the first person to get this wrong. I've had to talk other trained SCUBA divers through the maths before.
There are other forms of diving injury to which whales etc are subject, but they're not "the bends." And while they leave marks on the bones (as they do on human divers too), they're not enough to incapacitate the animals (though they can destroy a commercial diver's career).