The 410 is good for triathlon training - I have been using for just that for the last 18 months. However, Garmin has a triathlon specific device, the 910, which is much better suited as it can also be used for swim training in the pool and also in open water. The 410 cannot and is therefore limited in that respect.
I am pretty sure that the watch is not waterproof but you may want to check with Garmin to be sure. I know my 405 was not. There may be other watches more appropriate for triathlons but enjoy the heck out of it for pure running.
The FR 410 is not waterproof, so as far as swimming, I think you need to get a different watch. Works great for running, biking-- you can get the cadence sensor for a bike, GPS is good for both. Get the Garmin 910XT
A great place for all the details on Garmin watches etc is http://www8.garmin.com/learningcenter/