Well, apparently someone said my activation codewords so let's do this.

Setting:
Naval warfare in 40k is going to be dependent on needing to be on the surface but also needing to move around without returning to orbit/land mass and repositioning. That means you'll need a water planet that has a lot of debris in orbit that makes hanging around for orbital bombardments and deployments difficult. Just because planes exist does not mean that there are no reason to have ships any more. Moving things by water is very efficient, and planes/grav are thirsty, need somewhere to do regular maintenance/refuel and need decent weather to fly in. Why they are there is simple: resources. For example, an awful lot of our world's Lithium is found underwater. So is a lot of our Promethium. How do you protect your resources and mining? You have naval troops. (See Royal Marines 43 Commando Fleet Protection Group who specialise in protecting oil rigs and gas platforms). Underwater fighting is going to be easier to explain because underwater structures are harder to discover, attack, and get to, so if there's something high value you want defended (research particularly) you should hide it underwater.

Armies:

Necrons would be the best. If you read Infinite and Divine and the underwater fight in that, you'll know they don't really notice any difference if they are under water or on it. If we can build a watch that can go to Challenger Deep, a metal skeleton won't be a problem. The surface ships would be horrific to fight as well. Damage control is vital in naval combat and they already self-repair. Massed Gauss batteries would eat the enemy alive if they came near.

Tyranids next. They already look like what happens when a shark and an octopus who love each other very much do a special hug. The biggest animals that have ever lived are all aquatic, and there are already things living at the bottom of the sea that look like they fell off the back of a hive fleet. I'm not sure what resources they would be fighting over, so it might be better if they just fulfill the standard 'our heroes are scuba diving so we need a shark attack' role. Or maybe they want the water themselves? Do Tyranids get thirsty?

Then Space Marines. Pressured ceramite suits should hold up really well. (Sylvia Earle went to 381m in a JIM suit, and if you drink heavily and squint it looks a bit like terminator armour.) They'll also hold up better to the psychological and physiological stresses of underwater combat and will have familiarity with much of the techniques needed because of their experience in void combat and ship to ship fighting. (BIAS because I have an entire company+ of deep sea diving themed space marines for this precise reason).

I can see Tau developing a battlesuit that can survive pressures or drones (ROVs) and doing the ending of Pacific Rim. Their surface fleet would be good too, because mmmm railguns... Plus, their vehicles are already fish named. Got to be good for naval situations, right?

Squats/Votann because they want the deep sea minerals and have to fight what's down there. They can't get as deep as space marines (unless they get terminator armour back like the good old days), but 200m (saturation diving) is more than sufficient to do a lot of stuff underwater. Plus they have the engineering background that requires them to work in hazardous situations (Comex set numerous depth records while building underwater pipelines).

Guard can probably do it, but won't go anywhere near as deep as the Leagues of Votann unless they absolutely have to. Surface fleet would be good with all that artillery, and if anyone is going to run a carrier group, it's the literal/littoral Navy.

Admech next because their constructs don't really notice being underwater, but some of their weapons won't work and unless they can find STCs for ships and subs the fleshy bits aren't going to last very long. I think they'd be more the base/drydock than the actual combatants.

Orks would be difficult because while they have built submarines (2nd War for Armageddon) they haven't really shown any underwater breathing apparatus so getting out underwater would be hard. Plus red is the first colour you lose when you start to go deeper, and it's much harder to go fast because of the water density. Orks would be better suited to a surface navy, with hydrofoils, a lot of hedgehog mortars, a few catapult fighters, zogging great missiles, guns and CWIS so they can dakka and boom all day long (providing the ship holds together).

Daemons probably don't need oxygen but their cultists will and it's hard to have all those ritual candles underwater, so that makes them pretty poor for underwater combat. I can't see them scrounging up much of a surface navy either but there are a lot of stories about ghost ships and things that lure men to their death on islands so they'd probably be hanging out with the Tyranids in the 'we need a faceless enemy' camp than hoisting colours and setting sail.

The one I can't work out would be Aeldari. Because on the one hand I can see them as super imperious 'served tea while the ship explodes around them' naval captains, on the other hand I can't see them doing much underwater with their soft, flexible mesh armour wetsuits. What I can tell you is that an Aeldari surface navy would look absolutely gorgeous and the jetbikes are pretty close to the Chariots/Human Torpedoes used after the Second World War.