Why does my Apple Watch turn itself off of water proof mode when swimming?

There is no such thing as Water Proof or Water Resistant mode.

The Watch is water resistant always. Regardless of whether Water lock is on or not.

Water Lock only prevents water pressure on the screen from registering as touches and doing strange things on the screen. It does not in any way change the water resistance of the watch.

It also does not automatically turn on unless you start a swimming workout. Simply submerging the watch in water will not cause it to be turned on.

The only way to turn off Water Lock, is to rotate the Digital Crown counterclockwise until it turns off.

See here: About Apple Watch water resistance - Apple Support

Your watch automatically uses the WATER RESSISTANT mode when it senses water.

I stand corrected!