Because the Electric Eels absorb the electricity?<br />
Seriously, it's because the ocean is a huge mass. I imagine that some fish near the strike either die or are stunned.
fishes touching the ground of the ocean would be safe, yes the voltage and the current need to be earthed, but the ocean itself is the "earth", in danger are only the fishes close to the surface, since the potential equalisation (electronexcess and -deficit cancel each other out) happens in an area of a few meters beneath the surface of the ocean
Some may get stunned, that are near the strike but the vast body of water quickly grounds the charge to the earth. Lightning strikes are very high voltage and very low amperage by comparison, the amperage level is what kills.
Interesting question, but I'm pretty sure lightning doesn't actually strike the ocean. As an aside: assuming it did, only the fish that were touching the ground would get zapped. Lightning follows the path of least resistance to the ground.<br />
Factoid: Pure water (which the ocean is not, but think distilled water) is a very poor conductor.
There was a case where some bright spark ( pun intended ) decided to put some electric wires in a lake and electrocute the fish he was fishing for and he fell in D'oh