How bad is it to wet diabetic foot ulcer bandage in the tub or shower?

Not bad. If you have an ulcer it is quite alright and recommended to let the ulcer get wet in the shower as long as it is dried and properly dressed after the shower. This will help keep the wound clean.
Wet bandages. Wet bandages are not good for healing as they increase the moisture on the skin and surround tissue around the wound. This causes maceration. Think of a brick wall: the moisture destroys the mortar inbetween the bricks making the cells [the skin] unstable. Remove and seek gudiance from the group who are follwoing your wounds.
Follow Recs. The dressing of a foot ulcer and the ulcer of any type (diabetic, venous, arterial) should not be allowed to get wet in the bath. You should call your wound care provider's and request their instruction.
Keep it dry. You never want a wet bandage to remain on a wound--it can cause skin breakdown or allow infection, and can make the wound bigger. If the dressing gets wet, it needs to be changed, especially if using a prescription cream or wound care product. Best thing to do is make sure it doesn't get wet in the first place!
May not be good. Notify your doctor to see if bandage needs to be changed. You don't want to increase the chance of infection.