I am no expert in penguins. However, heart rate is directly correlated to gas exchange. When they slow their heart-rate - their body uses less oxygen/per minute, meaning they can survive on their gas reserve (in the lungs) for much longer. This, in turn, lowers the amount of CO2 build-up (toxic) in the body.
It seems to me it may be a method for them to stay underwater for longer periods!
You can find some infos about diving response in this article : Panneton WM, Gan Q. The Mammalian Diving Response: Inroads to Its Neural Control. Front Neurosci. 2020;14(June):1–27.
The main purpose of reducing the heart rate in water is that penguins do not have gills. In water, they depend on the oxygen stored in their body. To save oxygen, they try to stay in the water longer by reducing the activity of non-essential organs and reducing metabolism, and do not suffer from hypoxia and increased carbon dioxide.