Nevian, I can't provide any recommendations about the player ... but I would like to address the rest of your post.
Like yourself, I am a very music oriented person. I love listening to music while I'm doing things. But I don't take music underwater with me ... not even as a pretty experienced diver.
The difference between diving and all those other activities you mention boils down to environment.
We're not designed to be underwater. All those other activities you mentioned occur in an environment in which we have spent, essentially, our entire lives. Because we're used to that environment, inhibiting one or more of our sensory inputs has little impact.
Such is not the case when we place ourselves in an environment we aren't designed for ... particularly one in which awareness and equipment are so inextricably linked to our survival.
The equipment we use to go underwater limits our senses. We've grown up accustomed to having a peripheral vision that provides our essential awareness of what's going on around us. Putting on a scuba mask removes our peripheral vision, and limits the scope of our visual feedback. Our other senses are also inhibited by the underwater environment in various ways, and we rely on them less for our awareness. Hearing becomes an increasingly important part of our awareness because it's the one sense that actually improves underwater ... although in a way that reduces our sense of where it's coming from.
Developing a sense of awareness underwater is a learned skill ... similar in some ways to when you learned how to drive (and for many of the same reasons). Until those awareness skills become very well-developed, it isn't generally a good idea to be inhibiting them anymore than you absolutely have to.
... Bob (Grateful Diver)