It is a bit sad nobody was willing to help about this.
After quite some time and research I found the solution myself, here it is in case others need it :
If you have used the VR template the problem lies in the parameters that disable DOF, Chromatic aberration or other post processing effect. I do understand that this setting was done for limiting processing work in VR but in underwater you need DOF effect.
What I did and which work : in the config folder delete the file **DefaultScalability.ini (or you can rename it just to keep it as a refeence)
and in the files DefaultEngine.ini delete the lines of the **[/Script/Engine.RendererSettings] part
Then everything works and you can create your underwater visual effects as usual.