SHOULD have brought a life vest and snorkel, Teddy. Sen. Ted Kennedy was having a ball reading to a captive roomful of New York City third-graders yesterday when suddenly a dangerous question spewed out of the mouths of babes. "When was your most embarrassing moment with Splash?" a pint-sized jokester from PS 11 in Chelsea asked Ted. The kid was asking about Splash - Teddy's black Portuguese water dog who, at that very moment, sat quietly at Ted's feet, along with another pooch named Sunny. But the adults in the room could not help but think about "splash." As in...