Yeah a little rusty, which is why this seems odd.
Ok Here's another scene. The density does seem to be working, but something still seems to be off.
This is what the preview begins rendering:
Which starts off with a clear edge that falls off into the deeper volume, as I would expect.
But the preview finishes with this:
And renders this:
Which shows the depth lines spaced at a meter apart, disappearing into the depth. But the sky reflection seems to be too strong at the edges.
Looking at the online help shows the effect I'm after:
Turning the reflectivity off in the Water Shader doesn't seem to make any difference to the shallow transparency:
I've attached the scene bellow. I'd appreciate someone having a look. I'm after a clear edge into deeper colour like the help example above.