Shielded cable vs. unshielded in underwater environment
You need to use shielded cable for a 2.4GHz signal, regardless of whether it is underwater or not. Co-axial cable will contain the signal's EM field within the cable, making it very efficient at transmitting with minimal losses. It also has a consistent impedance, and this is important because where you have impedance changes you will get reflections that will degrade signal quality (this is of particular concern at your connectors).

If you don't use a co-axial cable then significant amounts of the signal will propagate into the space around the cables. If water encloses these spaces then this will absorb some of that energy, reducing the signal that makes it to the end of the cable.