You didn't give him the answer he was asking!I would first get him to retrieve the toys in a lake before you get him to jump off after them. Then start them on a shallow dock and jump into the water where its not too deep - then keep increasing the depth of the water.
Good luck with yours. I'm jealous (our Lab does agility) - she hates water and won't swim deeper then she can stand on the bottom. I'd love to teach her to be a dock dog.