Good question, i would say that the hazards have to do more with the underwater environment rather than with the welding activity per se. it is pretty much all about the specific technique of diving you use having said that, Surface Supplied diving (with the helmet that you see in the video or similar and a set of hoses bundled together called umbilical) is way way way safer in every single category than Scuba (the recreational way, with just a tank strapped to your back/side) Diving. in terms of the welding, you get to feel a mild tickling in your hand, arm, all the way to your nose and mouth with a metallic taste anytime you strike the arc underwater (ignite the rod with the electricity to put it in a simple way) specially in Salt Water. but of course theres a lot of training and safety considerations that a real professional will deploy to perform such a task.