It depends what you want from your photos. If you want control over your lighting, then, yes, you need an external strobe.
However, the internal strobe on these particular cameras is very good. I would definitely learn to use this camera without the external strobe first, then add a strobe later if you want to. The Canon A95 is suitable for external strobes.
You will also want to learn to set your white balance manually as this will help with underwater shots without using the flash at all. Colours don't POP at depth, but they are pleasing and can be tweaked. No backscatter from the flash with this method.
The advice above to get close and then get close is excellent. One word of caution, you can only get as close as the minimum focus distance your camera offers or things will be blurry. A little practice and shoot, review, adjust, shoot, review, adjust will get you there. Internal flashes are good to about 3', maybe 4' - 1 foot is better.
On my Canon A70 I had to turn the strobe intensity down one click or it overpowered the subject and overexposed everything. My insurance company just replaced my stolen A70 with the A75 and I haven't had a chance to work with it yet, but I expect very similar results.
As for the Oly 5050 - that is a totally different camera. It's huge compared to the Canons. It offers an excellent SuperMacro mode which is nice for those teeny things, but you have to get extremely close. I'd go for this camera if size didn't matter and if you were going to use it all the time and really wanted to explore uw photography. I almost never grab this camera for my land stuff - it doesn't fit in a pocket and I have to mess with taking that film thing off the internal flash (needed to use the external underwater).
The Canon has full manual control and you can add lenses and strobes later. I think this is a great entry - inexpensive, flexible (just look at LukeRob's gallery from his A70) and great results. It's also very user friendly.
