I love the simplicity of Lubuntu, but I decided I wanted a more powerful file manager.
I installed Dolphin and, although I was happy with lxterminal, I had to install konsole in order to get the advantages of terminal integration in dolphin (I tried for a while to get dolphin to use lxterminal, but that wasn't happening for me !).
Now I would like to get Lubuntu to use konsole everywhere, instead of pcmanfm, so I can get rid of it.
I used Preferences | Default applications for LXSession to change Launching Applications | File Manager to dolphin, and rebooted. That caused me to lose my desktop wallpaper and icons. It does not cause my toolbar icon to launch dolphin. Gratefully my desktop came back when I restored pcmanfm.
I discovered that simply changing the command line in pcmanfm.desktop allows the lubuntu menu and toolbar to use dolphin, however the keyboard shortcut ctrl-alt-d still starts pcmanfm.
So, is there a way to replace pcmanfm more thoroughly (and not lose the desktop), or to get dolphin to use pcmanfm ?
As you discovered, it's easy to swap applications. Unfortunately, you also discovered that it doesn't mean that applications have parity.
With LXDE and LXQt, as odd as this might seem, the file manager is responsible for managing the desktop. Not so with Dolphin, where KDE's Plasma does more of the heavy lifting (and ultimately kind of ties together all the separate pieces of their desktop environment in integrated ways, for better or for worse). So if you use any other file manager, you're going to consider how to deal with the desktop, if that's important to you. Some can still handle it (e.g. Nautilus), some have separate solutions (e.g. XFCE's Thunar has a separate xfdesktop package), and there are some separate packages that can handle it on their own (e.g. idesk).
You may want to try Lubuntu 20.04, which uses LXQt, which is vastly improved over LXDE in terms of functionality. I don't think it will get you the console integration you're looking for (which, in Dolphin, is via KParts, something exclusive to KDE), since it seems like discussion of the subject ultimately decided against it, but it at least uses the same GUI toolkit. LXQt is also way more responsive to bugs and feature requests.