I just can't figure out why...

[Rockin Robbins]

Actually, periscope depth is a lousy option because it calibrates the dive to level off perfectly at periscope depth. It does this by nerfing dive time. In fact, your dive is leveling off even before your boat is entirely submerged: a crappy thing when bombers are drawing a bead on you.

Better to cancel out of the pop-up screen with the inappropriate choices and just hit the "d" key to dive. Level it out yourself by hitting the "p" key when you get to periscope depth. It will cause you to overshoot and come back up slightly but won't leave you lollygagging around on the surface waiting to suck up some high explosives.