Why am I not getting an audio cue to dive underwater?

Traversal Audio Cues do not help with underwater navigation. Instead, Navigation Assistance will play a special bubbling sound cue when the next waypoint for progression is underwater.. It is included in the Vision Accessibility Preset and the Motor Accessibility Preset. It can also be activated manually from the Accessibility option in the Options Menu in the Navigation and Traversal section.
The Audio Glossary in the same section can help you learn the various accessibility audio cues.