The Deep Sea

Because the mammals usually take a single breath at the surface, and then descend.

In contrast, SCUBA divers are usually breathing compressed air while at depth, from their self-contained underwater breathing apparatus.

These divers will have lungs full of gas at several atmospheres of pressure. This will diffuse into their blood and then into more solid parts of their body. When they ascend, the stored gas diffuses out, causing bubbles, and thus 'the bends'.

When free-diving, the lungs are full of air at one atmosphere of pressure, leading to very different gas absorption dynamics.

Humans who free-dive (i.e. no scuba gear, just hold your breath) "don't get the bends" despite descending to depths well past the recreational scuba levels.

The caveat is that mammals can and do get the bends from free-diving (humans included in the mammals group) if they make multiple dives to depth with insufficient surface intervals. Because when you get technical about it, the air in the lungs does get compressed at depth, leading to the same absorption/release process as SCUBA divers face. However, the volumes of gas are much less (one breath vs many), thus the total amount absorbed/released is much less.

also, they often don't fare well (ie die quickly) when taken to shallow water / out of water into our puny atmosphere with almost vacuum pressure in comparison.

This is the source used by wikipedia : [PDF] https://ia801705.us.archive.org/3/items/biostor-3316/biostor...

On 15 November 1976, the research vessel AFB-14 of the Naval Undersea Center (now the Naval Ocean Systems Center), Kaneohe, Hawaii, was conducting oceanographic research in waters about 42 km northeast of Kahuku Point, Oahu, at about 21°51'N and 157°46'W. From 1015 to 1415 Hawaiian Standard Time the ship had de-ployed two large parachutes as sea anchors at a depth of about 165 m in water with a bottom depth of approximately 4600 m.

Edit: Now that I read parts of the source, the only mention of that depth (unless I missed something) is the one I included in my comment. I think that people mistook the depth of the water for the depth at which the shark was caught.

Another part of the source says this (on page 22) :

Apparently, when captured, Megachasma pelagios would have been in the upper depths (165 m) where these euphausiids are commonest at night, and quite possibly might have been feeding on them when it became entangled in the parachute.

What do you mean? Whales and dolphins are mammals, too. I searched for the deepest-dive mammal, too, and found Cuvier's Beaked Whale.