Let me preface my comments by saying that I've never worked on a Sherwood reg before, so my recommendations are based on general principles of reg repair.
In terms of diagnosing the issue, it's really important to figure out the origination point of the whistling sound. The fact that the noise only occurs underwater complicates the repair. If it's coming from the first stage, then it could well be the issue that apertyx raised -- not enough lube on a HP piston o-ring. I've read that whistling/moaning can also be caused by the opposite condition -- too much lube on the HP o-ring. In either case, it would necessitate taking the first stage apart, cleaning, possibly re-lubing, and then reassembling. With Scubapro regs demonstrating similar issues, I read somewhere that making a minor adjustment, such as rotating the piston in its bore or flipping the spring over, might do the trick. While he's at it, a reg tech with access to official overhaul parts might just drop in a new HP seat or a completely new kit altogether. Essentially, the first stage would get overhauled again. This really doesn't troubleshoot what is currently wrong with the reg, but it may fix the issue.
Whistling/moaning/funny noises coming from the second stage during inhalation might be caused by resonance of the diaphragm with the second stage case. If this is the cause, it would be a little unusual that the funny noise only manifests underwater. A possible fix is to rotate and re-seat the diaphragm.
The point I'm trying to communicate here is that this issue could be a difficult one to troubleshoot. For this reason, I think it's worth taking the reg back to the shop where it was last serviced. Good luck.
