This is definitely a myth! There is no such thing as a waterproof sunscreen or a sweat proof sunscreen. All sunscreens will eventually wash off, sweat off or rub off so it makes sense that they are definitely not considered to be waterproof or sweat proof.
In fact in 2012 the FDA banned the use of “Waterproof” and “Sweatproof” on sunscreen labelling.
Sunscreen manufacturers can claim to be “Water Resistant” and can include this term on their packaging. The FDA regulations state that sunscreen manufacturers must also print on the sunscreen packaging whether the product offers sun protection for 40 or 80 minutes when sweating and/or swimming. Of course this must have been tested.