Well, maybe there's a way to make dolphin or other apps have transparency or blur, I'll be honest and say that I don't know.
But looking at the screenshot you posted, it's exactly the same thing I have. On the right it's Konsole and you can enable transparency and blur in Konsole settings without installing any additional software.
On the left you see Dolphin and it's not transparent or blurred. However, the menus of Dolphin are transparent and blurred. This is because in Plasma you have a desktop effect that makes all menus transparent and/or blurred, it's a global effect and applies to all menus.
I can't remember where it is exactly but you don't need to install any additional software, it's all built into Plasma.
At least, I have it in KDE + Arch, maybe other distros have slightly different versions of Plasma.
If this is indeed what you want, blurred menus, I can look up where it is enabled once I get to my laptop.