if i light a scout on fire, and he jumps in water... i just jump in after him and finish him off with the shotty
i dont play pyro all that much tho unless theres a lot of spys on the other team and my team doesnt have a pyro.
as for underwater sentries... they seem to have trouble seeing things out side the water when they're in the water... so usually i can just walk to the edge or on the top ledge of the base. look down into the water to see them. shoot em, then jump in after i killed it.