Well, the suits function in space, so they are air-tight and therefore presumably water-tight. I don't know if bolters work underwater, I could see it going either way. The real questions are: 'Do Astartes get The Bends if they decompress too fast?' and 'Can power armor withstand the pressure of the ocean floor?'
For question 1: I would assume Astartes physiology allows them to decompress without getting The Bends, it seems like the kind of thing that the writers might throw in as a blurb somewhere.
For question 2: Logically speaking, power armor should implode at high pressures. The actual armored shell may withstand the pressure, but the undersuit (which is exposed in many places) almost certainly wouldn't. So at great depths, Astartes probably couldn't function; In shallow water, I'd give it a pass under the rule-of-cool.