Do I need to set my Apple Watch in a specific mode to use it in sea water for swimming?

Yes, an Apple Watch Series 9 is ok in pools and oceans. Casual swimming should be fine with the Series 9. However, if you’re planning on diving deep, you’ll need the Ultra.

Water Lock will eject water out of the speakers. You can turn it on in control center.

For more information, see these Apple Support articles:

About Apple Watch water resistance

How to use Water Lock and eject water from your Apple Watch

About Apple Watch water resistance - Apple Support

The Apple Watch is water resistant, not waterproof.

It is ALWAYS water resistant.

The water lock prevents accidental screen touching and button pushing from doing something like calling someone, or accidentally triggering emergency services.

NOTE: Proper care should be used to maintain water resistance, as it can be lost if the watch is exposed to substances that will damage the water seals.

The Water Lock will also turn automatically if you start a water based workout, for example swimming.

Before is better, since it not only ejects water out of the speaker, but also prevents touch input until turned off, which prevents accidental calls or other things.