Army Map Movement vs Map Movement Speed

[mivayan]

It it a feature. From the manual 5.2.5:
Underwater movement works in the same way as movement on dry land with one exception: it is not possible to move more than one province underwater.

I dont find it annoying since water provinces often are 'bigger' than land provinces, you can get where you are going by crossing 2 water provinces or 5 land provines.