Yes, they can swim well and they have thick fur, I don't think jumping into a lake is inherently suicidal for them.
They are, however, in lemming years, not very afraid of predators and will even stand up and squeak furiously at you if you get close. I knew of a dog who would walk up to them, watch their tantrum display with interest, and then just chomp them up.
I think maybe that's where the "suicidal" idea comes from.
