I had similar trouble, what I ended up doing is creating 2 water planes to be lakes, and gave the physics volumes the cone-shape as a choice.
Then I placed post-processing for both of them.
With the physics volume set to a cone and the water plane set to be a similar size as the cone (I think that the water planes are mostly box-shaped except for the Static Meshes for rivers).
Then, in those lakes I created holes for caves, and placed rocks around those entrances.
I then placed platform cliffs and after testing, I was able to swim down to the cave and, after entering the caves I exited the water and was standing on the platform cliffs entrance-way in the cave.
If you want to swim down to a cave then exit the water when you enter the cave, you need to have a relatively small water plane and a physics volume shaped just so you can exit water as you enter cave.
I’ll be placing waterfalls within the caves to show (from within the cave) where swimming starts/ends.
I’ll be trying to make a video on it asap. But essentially you must make multiple water planes to achieve this as having an ocean sized water plane will make it impossible to have an underwater cave that includes places to walk and come up for air.
Lining up the water planes and their respective physics and PP can be a bit finicky and tedious but once you get it done it should work to what you asked, hopefully.
I hope my answer sheds a little more light on this.