While diving you can dive up and down by looking down or up and holding W and moving in that direction, just like the Field Manual states. Pointing down makes you dive and pointing up makes you ascend etc.

However, this does not work when remote controlling a unit in Zeus mode. Holding W only makes you swim forward, it completely ignores the direction you are pointing with the mouse.

EDIT: The SDV is also affected by the same bug. However, unlike infantry diving it is impossible to make the SDV dive when remote controlling it in Zeus. Z/X do not work at all.