Air is a compressible fluid. Water is incompressible. Energy from shock waves will be transmitted from the hull to the crew in a much more efficient fashion.
Because water doesn't compress it transfers any shockwaves straight through anybody who is in the water. This happens much faster than the water has time to move out of the way.
Sailors who are in the water after abandoning ship during naval battles are in extreme danger of dying if a bomb goes off close by.
Since my answer seems to have been incorrect, can you help me understand how that's different from being rapidly and thouroughly crushed by the water the soldier would be submersed in? The water is the medium of the shockwave, so the energy crushes you through the force propagated through the water. No?
It uses balloons filled with water and air and small firecracker explosions to show how different the pressures on your body would be (especially organs like lungs, digestive tissue, which would have air/gasses in them).