I realize TW is not very specific on this: errata will be issued.
Note that you can't jump directly to Depth 3 water, as you can't fire your jump jets in water. So you reach the hex surface and then sink to the bottom. Here's the errata:
Replace the water subsection on p. 53 with the following:
Into Water: A ’Mech jumping into a water hex must make a Piloting Skill Roll (see p. 59) as it enters the water hex; this roll does not occur when the ’Mech “touches down” to the bottom of the hex, but is triggered by passing the water barrier. For the purposes of these rules, if the PSR is successful, the ’Mech is placed at the bottom of that hex immediately, regardless of its depth. If the roll fails, the ’Mech falls a number of levels equal to the depth of the water hex, but the resulting damage is halved (round down).
Out of Water: Jump jets cannot be fired while submerged. As such, a ’Mech standing in Depth 1 water may not fire jump jets located in its legs, and a ’Mech standing in Depth 2 or deeper water cannot jump at all. For example, a ’Mech with a Jumping MP of 5 that has one jump jet in each leg and one in each torso location may only use 3 Jumping MP when jumping out of Depth 1 water.