The bug

Entities riding other entities that don't need air will dismount each other when in more than two blocks of water. Entities can still ride skeleton horses underwater. but not other undead mobs.
So undeads can't ride any other undead mobs underwater except skeleton horses.

Since undeads and things like armor stands don't need air it doesn't make sense for them to dismount when under water.

How to reproduce

1. Find some deep water (5 blocks deep), and the run:

   /summon minecraft:zombie_horse ~ ~ ~ {Passengers:[{id:zombie}]}
   

   →  Notice how the zombie dismounts the zombie horse when submerged underwater