Skill in swimming reduces the chance of suffocating when in deep water. It has a few other benefits in areas that check for swimming ability, but mainly keeps you from drowning in the Arelium moat. Some races don’t need this skill as much due to being natural swimmers or not needing to breathe.
The ingame help reads:
Skill duration: random. Type of skill : neutral skill. Affecting stats: Dex. It uses no endurance points. Water covers two thirds of the world. Unfortunately, if you don't know how to swim, you won't be able to traverse much without a boat, and boats are kinda heavy to carry along with you. Swimming is very useful, allowing one to easily traverse rivers, lakes and oceans. Make sure when you go swimming that you aren't carrying that iron platemail, while you can still swim when loaded, it hinders you greatly, and you might not be able to swim at all if you are carrying too much.