From what I saw and read, it’s definitely a Don’t Do This At Home warning. Note – they built it before putting it in the pool. It looks like they used untreated wood which is not something you want to put in a pool. I am not sure I would trust treated wood if it were meant to be in the pool for a long period of time. If I were doing this, I would put it above ground.
I tried watching this on YouTube, but my Wi-Fi connection was bad; I was able to scan through the video as well read the transcript – BUILDING A SECRET UNDERWATER BASE! – YouTube Video https://www.youtube.com/watch?v=cP_UpYHn8Ao (about 12:49 minutes long).