When looking at the direct quote that determines their power:
Shark Telepathy. The sauhuagin can magically command any shark within 120 feet within 120 feet of it, using a limited telepathy.
This is automatically assuming that the communication between the sauhuagin is indeed magical and can be detected via detect magic by one of the players in the party, alongside the word "command" being incredible subjective considering that from what can be seen within the Monster Manual, there is no detail describing a shark being forcefully compelled to follow the orders of a sauhuagin, especially if said shark is either bonded to a friendly player or is a random shark that just happened to pass by, due to the racial trait only specifically stating;
Way of the Shark. Sauhuagin worship the shark god Sekolah... As worshipers of Sekolah, they also have a special kinship with sharks, which they train as attack animals. Even untrained sharks recognize sauhagin as allies and don't prey on them.
Which when looking into the specifics, the shark does not inherently have to protect the under attack sauhuagin by putting itself within harm's way as well, only that the shark does not see the sahuagin as potential prey when coming across it's path.
Sauhuagin working with sharks they've trained and don't need to command
When attempting to telegraph this to the players you can attempt to describe the sharks as having clear markings or "armor" similar to the Sauhuagin next to it or that the shark is seemingly following a Sauhuagin with a noticeable obedience or sense of servitude behind it (if the party were to see the group from afar).
Alongside whether or not the Sauhagin is using telepathy, due to the wording dictating that the trait is magical, if a member of the party were to be able to detect magic they would quite quickly see that there is no magic being used.
Sahuagin working with sharks they've not trained and have to command so as to fight in tandem,
Due to the fact that there is no explicit direction that wild sharks have to recklessly follow the commands of a Sauhuagin nearby, I would say that this is merely up to the DM due to the subjectivity behind it (although within my personal opinion I would merely dictate that the shark under the notion that it would put it's self-preservation before the Sauhuagin that -depending on the scenario- the Shark either refuse to help or runs off after finding itself in a dangerous situation).
Sahuagin working with sharks they've not trained and yet also can't command because, reasons?
Under this third scenario it is safe to say that in any case the "reasons?" really matter. If the shark they are attempting to command is bonded to a PC then the chance of them following said commands are relatively low (and thus a possible DC save might come in order, up to the discretion of the DM for the "friendly" shark).
The severity of the bond between the shark and the PC also comes into play as well for roleplay reasons. If the shark is an animal companion for a ranger than it would stand to reason that an antagonizing Sauhuagin wouldn't suddenly displace years of companionship with a non-Sauhuagin character.
Hopefully this answer is clear enough, but with everything referring to rule 0 is never necessarily the worse choice.