If I remember rightly he withstood the impact of Mjolnir against his shield in Avengers, so I guess a water impact shield-first isn't much different. *shrugs*
Good thought. Since the shield is made of a vibranium alloy, it should absorb the force of impact without transmitting it to Cap's arms/body.
Even so, though, I'd think he'd still be decelerated rather quickly from a fall into water at terminal velocity. So he'd still be feeling a lot of g-forces with or without the shield. But maybe the impact would be diminished enough that it would be survivable for his supersoldier anatomy.