Yes, the diving is pretty good in the Red Sea, probably less so around Saudi than Egypt, but still decent. The general consensus amongst western instructors (and even my Syrian DM instructor), is that they would not want local students for differing reasons. Also, a male instructor would only be able to teach a local male student. As a general rule, the culture is such that unmarried/unrelated men & woment don't mix. Foreigners usually dive at "resort beaches" outside Jeddah, where people can go, dress as they like and socialize/dive.
I teach technical English to officers of the Saudi Arabian Air Defense Forces in Jeddah, where I am finishing up my DM course. It's not a culture that every expat can thrive in. It is a very closed and conservative culture, suspicious of outsiders. I sometimes feel that it's a combination of George Orwell and the movie Groundhog Day.
They want foreigners to come in and do the work for them, but often treat them poorly (particularly asian workers). There are no cinemas, few opportunities for women and employment, and no chance for freedom of religious expression. If you happened upon a local in a car accident or even diving accident, you would be advised not to stop and help, as you could catch part of the official blame, even though you did nothing to cause it. ON THE OTHER HAND, ...
.........for my family and I it has been a welcoming place (of sorts). The culture is definitely biased (positively) towards families and not bachelors. Every place has single sections and family sections. Because I have a family, I get viewed with "less suspicion" than if I were on my own. Both of my kids were born here in Kingdom. They are 8 yrs an 3 yrs old. They get treated really nicely. This not to say that it's sooooooooooooo easy living day to day, but if you (or anyone) wants to email me, I'd be happy to talk to you more. Ultimately, it's what you make of things, how you mentally filter your cross-cultural experiences. I could tell you just as many nasty stories involving other western expats here!!