TL;DR: water symbolises knowledge, and all the other correspondences flow1 from there.
If the sea is called the Sea of Knowledge, then what is its symbolic significance? Assuming that what's in the sea is literally representing knowledge, then (in the allegorical reading) we can equate water with knowledge or information.
Then what does it mean to swim in this sea, and what does it mean to get wet? If you're swimming, you're surrounded by the water; I would equate this with being exposed to knowledge on all sides, like reading an informative text or attending a lecture. But getting wet means you actually absorb water and it stays on you; that surely equates with absorbing knowledge, i.e. learning.
"You can swim all day in the Sea of Knowledge and still come out completely dry. Most people do."
So how can this sentence be interpreted? It should be something along the lines of:
"You can be exposed to knowledge all day and still end up learning nothing. Most people do."
But let's take this allegory further! What happens when Milo, Tock, and the Humbug actually swim through the Sea of Knowledge?
They swam and swam and swam for what seemed like hours, and only Tock's firm encouragement kept Milo struggling through the icy water. At last they reached the shore, thoroughly exhausted and, except for the bug, completely soaked.
"That wasn't bad at all," the Humbug said, straightening his tie and brushing himself off. "I must visit there again."
Milo and Tock swim for hours, and end up soaking wet and tired; the Humbug is dry, comfortable, and quite relaxed about the whole situation; he would be happy to do it all again. Thinking about this with the allegorical interpretation, it's like attending a long lecture or reading a weighty textbook: some people study for hours and end up tired but with a lot of new knowledge, while those who don't learn anything are comfortably relaxed and could happily do the whole thing again (still without learning anything).
In fact, the whole passage about the island of Conclusions can be interpreted under the same representation of knowledge as water. Jumping to conclusions is easy, and you can do it without possessing any of the pertinent information; but to get away from a false conclusion you reached, you need to learn something and gain some new knowledge. Norton Juster is masterfully and very subtly depicting this fact of life by the imagery of the island and the sea: you can jump to Conclusions like magic, but it takes a lot of hard work swimming through Knowledge to get back to where you started.
Thank you very much for asking this question. Even after a very recent re-read of The Phantom Tollbooth, I'd failed to grasp the significance of this passage about the Sea of Knowledge until now. (I'm ashamed to admit that on my very first read, as a child, despite finding the Canby episode very memorable, I even failed to understand the point of his name.) There's always more to notice with this book!
1 Pun very much intended. Obviously.