You're absolutely right about the importance of rest while training. It's possibly the most important factor in making gains in fitness; providing the appropriate energy systems with just the right amount of overload, and then letting them adequately recover and get stronger. You don't get faster by training, but by resting after training.
With three sports to train for, it can be very difficult for triathletes to structure enough rest into their program, and many fall into the trap of exercising every day, even on rest days. However, the purpose of rest isn't to simply stay off of your legs, but to allow the entire body to rejuvenate from a hard week or block of training. This includes your muscles, your blood, your heart, your lungs, and your brain. While swimming is less demanding on your legs, it still requires a significant contribution from those lower extremities. Kicking, pushing off the wall, standing, or treading water between sets; it's definitely not rest. That said, your cramps could be the result of other issues, including dehydration, low/unbalanced electrolyte levels, or lack of calories. Be sure to stay properly hydrated, even while in the pool where sweat losses aren't as easily detected.
I believe all athletes should incorporate a complete day of rest once every 7-10 days. The positive impact of one full day of rest outweighs the potential benefit you would see from adding one or two more workouts to that seven-to-ten day period. You'll come back feeling stronger, having better workouts, and enjoying training much more.
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