Ghouls breath, and that is a reason for one, but I think those who still have their mind left just hate water. Maybe their equipment would rust away. And wasn't there some kind of a vampire-thing to prevent them from crossing (and going to) water? And of course, those undead with cold aura would freeze water and imprison themselves!
Are there any non-ethereal undead that have cold aura and that can enter water? I don't think so, but with all the units...