It's more of a financial question, do you want to shell out for some chance at it. And Russia and China can build their own engines, SpaceX is very good but not like a century ahead good.
(If anything, I'd be more worried about North Korea or Pakistan getting their hands on stuff…)
Either way the risk is the shit that's left floating, if they don't fish it out it'll randomly wash up in Madagascar or so…
I mean, yes [0]. It's probably the main reason SpaceX went to effort to recover [1] all the engines of the previous booster (IFT-4), which landed in accessible, shallow water in the Gulf of Mexico. The Raptor engines hold valuable secrets, particularly to China who are trying to clone a lot of SpaceX things.
The CIA did something very similar to this in the Cold War [2], though they used a boat instead of a submarine.
[0] https://en.wikipedia.org/wiki/Akula-class_submarine#Operatio... ("In August 2012, the news media reported that another Akula-class submarine operated in the Gulf of Mexico purportedly undetected for over a month, sparking controversy within U.S. military and political circles...")