Rules officials will likely be the WORST people to answer this one, given there are no codified USGA or R&A rules for scrambles for them to refer to. Their judgment will likely be simply "it isn't golf, so why ask?"
It's really catch as catch can. That is, anyone running a scramble can create whatever rules he wants. In general Adam has it right: most do play the "same condition" rule. So no, you can't drop out of the water without penalty. But even under that, as you can tell, Jonathan's situation was perfectly "legal". They dropped from an ostensibly playable condition in a hazard, within one club-length, to another playable condition. I'd say this is stretching the "rules" to their breaking point, but not past such.
In any case, since there are no real rules, there is no definitive answer to Mike's question, other than to say it would be a pretty lenient competition indeed in which one could drop from a penalized situation to a non-penalized one.
It is a good question though. And it's also strange to me that the USGA doesn't go ahead and make some official rules for scramble, given it is played so damn frequently (nearly every charity tourney). But that's a separate question....
TH