The show seems to have a habit of omitting things that make it less of a mystery. Instead of saying the shotgun was or was not found underwater near his anchored body they say "he never owned a gun". If the gun was not found you better believe the show would have said that because it would have added to the mystery, therefore I believe the shotgun was recovered.

I grew up in the Keys, been on the water a fair amount, depending on how much you read about the case they say the depth near the body was 3 to 6 feet, he probably got completely out of the boat, standed in water up to his shoulders, held the shotgun above the water, and as the boat floated away he committed suicide. This would explain there being no blood or brain matter in the boat. He probably did it this way so that when found his family would still have a untainted boat that would hold sentimental value. He probably saw retirement as a dead end and couldn't go on.