If you defrost in water, by all means keep the plastic on. If it weren't wrapped, you'd put it in a baggie anyway and not dump it directly into the water.
The instructions to unwrap are for defrosting in the fridge and to allow the water to run off. Fish is often covered in a thin protective layer of ice, which you want to be able to drain instead of staying on for a long time.
For the relatively short time in a defrosting water bath, you will be fine. Just pat the fish dry before frying or you get a lot of spattering.
From a food-safety perspective you should be using cold water, btw, it works just as well and you can be sure your fish stays out of the danger zone.