I thought it was great, too!
Well obviously not everything in Sherlock Holmes is totally realistic, I mean there's no way that they could have been up and fighting down German soldiers five seconds after they had all been thrown down and stunned by that "Little Hansel" thing.
There are ways to lessen impact upon water based on how you hit it, and the fact that it was frothy probably helped cushion the landing, but I agree with you, completely silly that he could have survived, despite the oxygen! A fall from that height would definitely be fatal.
Keep in mind that A.C. Doyle did the same thing, kill Holmes off in "The Final Solution," (in the book, he actually fell off a ledge with Moriarty into that same falls, except there was no castle), and then he brought him "back to life."
Suspended disbelief, my friend! Don't think about it too hard, otherwise the movie will be left riddled with holes. I for one would be up to a third Sherlock as I am a big Jude Law fan as well as a Holmes addict, so I'm glad that it's not completely over yet!