If a baby wolfs spawn in water, you spawn a baby wolf in water or you breed a baby wolf and it is in water it won't swim. I have been playing for a while and I went and tamed to wolfs and breed them and started heading back home and there is a good size river between where I got the wolfs and my home. When I got across the water I look back and the baby wolf is not swimming but just walking on the bottom and not swimming. So far I can recreate every time either in create mode by spawning in or breeding and then going into water.

I don't know if the baby wolf doesn't recognize water or just don't swim.
If you spawn a baby wolf straight in water it can glitch into the block its spawn on and possibly will sink into more blocks and seem to disappear but if you dig down he will be there.

Recreate:
1) breed a tamed wolf
2) Walk through water with baby wolf (doesn't matter how deep)
3) watch baby wolf walk on the bottom