In A perhaps he is in a boat on the water (he is not on land).
In B perhaps he is swimming in the sea, not in a boat.
*C is not quite idiomatic; we usually say either
C-1 He is AT SEA.(=perhaps he is a sailor and his boat is at sea, not in port) OR C-2 He is AT THE SEASIDE.(=at the beach)
In D,he is under the surface of the water, perhaps swimming or searching for something in the water.