Usually, the exhaust gases will force the water out of the way, which is why you basically never see an exhaust snorkel on a car that has an intake snorkel.
I think the question was more like "Would the increased water pressure at that depth put too much back pressure on the engine and prevent the exhaust coming out / force water into the engine?"
Either they were concerned about that, they didn't want water to rush in immediately if the engine stopped, or they were just being on the safe side.