Everything is compressible with enough force. I would say that threshold is when that compressibility is relevant to the discussion. So in this case, a water ballon under water. There is no depth in the ocean where the pressure will be high enough to make a notable difference.

I would imagine in many applications when dealing with water and fluid dynamics, unless measurements have to be extremely tight and calculated, water would be treated as incompressible. I’m guessing a lot of the time, the force applied to water is not high enough for it to matter.