I've never worried about it with new watches. I even jumped straight from the hot steam room to cold pool on many occasions. It was a sort of weekend ritual since our apartment had all of these nice facilities. It seems like new seals + pressure test should be enough of a safety net in most cases. This is only based on my own experience, so could be completely horrible advice. YMMV
Unfortunately, I don't have any photos of my poor Datejust being abused in such a fashion. Yes, I like shiny bezels and Oyster bracelets. It's my dark secret.
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