Check the brand of your compass. If it is a Cammenga (the military lensatic used by U.S. forces) it IS NOT liquid filled. The Cammenga lensatic uses a copper induction dampening system instead of liquid. I have a Cammenga and use it for backpacking and land navigation.
There is no milspec on pressure or depth for the compass, so there is none given by the manufacturer. That said, Mike over at Cammenga has taken his lensatic down to 35 feet without any problems.
I've never tried using a lensatic underwater, so my skepticism may be entirely unfounded. I question the benefit of a lensatic--precision navigation--in most diving situation. Lensatics were (and are) used for directing long-distance artillery fire and cross-country navigation. In those applications, a degree off the mark means you miss a distant target or destination by several hundred feet, if not more. Under water, the distance to a destination is more often measured in feet or yards than miles. Also, in murky water, you can't sight on a target with a lensatic, so if you're picking a target to travel toward, there's no benefit.
On the other hand, if you're doing underwater cartography I suppose a lensatic would increase your accuracy if you pick out headings and distances on the surface using the lensatic, and then duplicate that pattern on the dive.