Mostly because set design comes before story, as Greg often mentioned in his discussions about why certain things look the way they do (case in point, Jaller Inika's Energized Flame Sword, which he canonically possessed two of, as Greg was writing his novels based off of a prototype set that possessed two). The set designers are basically told, "OK, so this year we have an underwater theme," and they design the sets based on that. They don't know the exact circumstances behind the Mahri's ability to breathe water, so they go with the most obvious design aesthetic that can be carried over across all six sets, breathing tubes.
Additionally, story details are always malleable, so it's possible that at one point in the discussion, the Mahri would have been given underwater equipment. While this got translated to the sets, the story idea might have changed, resulting in the disparity we see in the finished products.