So far I think I like the projectiles passing through the water as is. Looks fine to me.
Spears passing through water is definitely the most natural behaviour, and anything else would feel strange.
passing through seems the most logical option for all of them [and simplest to avoid more complications/bugs].
Leaving it as it is would definitely be the easiest solution, so it's good to see support for that!
Grenades could ... immediately explode
I do like the "immediately explode" idea for Grenades. Any other thoughts on this?
The only possible suggestion I have is to change the projectile color to blue as it passes through water. This would make it look clearly intentional and make the projectile appear under water as well.
This is also a good idea, I agree that this would make it look a more intentional. We have to consider that the water could be
any colour (or even multiple colours within the same graphic), so it would require getting the colour from the current
area and then applying this as a hue-shift to the Spear/Grenade graphic in real-time. Difficult stuff, and I'm not entirely sure how well GR32 would handle this, tbh, but it might be worth a try at some point.
Some good ideas here.