So? Let's just take the example in the first post again. For Ambulocetus to become a blue whale, what "new appendages" need to be formed? The tail? Ambulocetus has a tail; it simply needed to be adapted. Baleen? Ambulocetus had teeth - again, they simply needed to be adapted. A blowhole? That would be nostrils.
Can you imagine the changes that would need to take place to go from a land creature to a water animal? Think about the massive numbers that might be necessary from my own ignorant perspective:
a change in pelvis from having a flimsy one for a tail to having one for swimming
a change in pelvic movement from side to side to up and down for propulsion
the skin of a mammal to a waterproof covering for a whale that includes a thick layer of blubber that keeps it warm in cold water
the change from a land runner to that of a streamlined, hydro-dynamic whale
the change in eyes from seeing on land in sunlight to seeing underwater
the change from communicating by vocal sounds to communication through communication through clicks
the change from the ability to eat underwater to being able to eat underwater without drowning
the change in birth from land to water without the death of the newborn from drowning
and there are many more...
*Please note, that each of these major changes above in features would require numerous micro-changes; and that these micro-changes would create a freakish, incomplete transitional animal that would be easy prey for predators and or fail in the environment it was morphing into. When we put this all together, could we not plausibly determine that there would have to be changes in the thousands? Keep in mind also, that these changes were supposed to have taken place between a period of 5-10 million years.
Another question, as per the OP; how does natural selection
know what the land animal is morphing into?
A second question: Wouldn't the developing transitional creature die as it is not adapted to either land or water?