While a round may not hurt you in the water (Myth Busters did something similar) an explosion will. It was a big deal that the depth charges be set to safe when a ship was going down. Supposedly, if you are in the water and there is a large explosion (I mean really large), the concussive wave passing through the water and eventually your body could blow your innards out your backside. You swim away from the vessel, not to avoid the vortex that might suck you down (This is thought to be a myth too) but to be away in the event of an explosion.
No supposedly about it. Water doesn’t compress. explode a big enough bomb underneath a boat, especially in shallow water like a harbor, you’ll break the boat’s back.
Yep. Water is incompressible. The human body isn’t. Well, the part that isn’t water, that is.