The answer is pretty obviously safety. That, and I doubt flying is terribly reliable either given he is doing it with muscles and his muscle memory (super impressive, by the way), so if he did it over water just to prove a point, there's a good chance he'd ruin tens of thousands of dollars worth of equipment.
My impression watching this guy's videos when they have hit the news over the past few months has been that, for whatever reason, it skims the ground and can't ascend. If he wants to disprove that, it should be possible to rig up a safe test.
No reason to disprove something that is disprovable with a basic understanding of basic physics and aerodynamics.
I expect the big challenge with a device like this is NOT ascending too high where you'd be at risk of breaking a leg or thousands of dollars worth of red-hot jet turbine. This isn't a drone, it's a flying person.
So he's not going to fly much then, is he?
But if there's no ground effect in those videos, then he can already hover. So if there's plenty of footage of stable hovering at 0.5 meters "in mid air", why is there none at all of hovering at 3.0 or 5.0 meters? It doesn't entirely convince me that it can be done.
EDIT: If you want to see him testing the concept in a bunch of iterations, you can check out the vimeo page here: https://vimeo.com/gravityindustries/videos/
Arguably, the leg-mounted jets COULD be close enough for ground effect, but they're apparently destabilizing so they switched to two backpack-mounted engines instead.
I get what you're saying, but when applied to someone supposedly building flying machines, I just find it a bit of a thin rationale.
Then it should be easy for him to demonstrate a sustained hover at 5 or more meters up. Or if it's not a lack of power, does he not have the necessary fine control do do that?