First off, there is an age old rumor that the bleeding stops underwater. This is true from what I can tell, ladies please chime in. But sex during menses means extra gentle and not going deep, for reasons that I won't go into because its basic anatomy. But most of her sensation is not deep so... no worries, basic anatomy. Also, you can only do that during certain parts and with certain partners, everyone is different. And if you have sex during menses, even if you are underwater, you may see blood, usually just a little. Also, women can still get pregnant during menses, thats a fact.
To those saying its "gross"... you will grow up. Menses occurs about 20% of womens' lives, some people just need a lot of loving.