This will probably make more sense if you look at extinct ungulates. When comparing a horse and a deer or antelope, you are comparing animals that have converged on similar solutions to similar problems, while whales have gone off and done something totally different. But if you look at the ancestors you can better see what's going on.

Also important is the details of the anatomy of these species. Horses may look like moose in many ways, but how they get to that final result is rather different even if that isn't always visible at a causal glance.

Early whale ancestors like indohyus and pakicetus looked less like whales and more like early hippos (the closest living relatives of whales).