Interesting marketing tactic. Is that water drinkable?
The fear with electronics immersed in water would be some toxic substance or another leeching into the water. But the point of the waterproofing is to protect the electronics from the water, which should also protect the water from the electronics. If they do it right, it should just be aluminum, glass, plastic and rubber contacting the water. If they used a food safe rubber or plastic it's good to go.
The walkman needs to be safe for use in contact with the skin.
The water needs to be drinkable. Packaging directives look at things like phthalates in the bottle... but don't consider contents within the bottle which aren't part of the beverage or beverage serving mechanism.
So... they can, legally, pretty much do whatever the hell they want, as the Mp3 player does not need to be consumable, the water and bottle will be quantified as safe by themselves, and the thing as a whole (bottle + water) is just treated as packaging, so doesn't need to be consumable.
All in all it's the kind of thing that isn't quite covered by product safety standards, as it's so irregular.