I would say this actually means "where are you about to swim", not "where are you swimming" which would be "hvor svømmer i." Small but important difference.
"Ved" is a bit of a bummer, because it has so many meanings. One can be translated as "about" as in "about to do something" (e.g. "jeg er lige ved at gå" - "I am about to leave" or "jeg er lige ved at være der" - "I am just about there"), so your're right. But even then it indicates a process, that your are actually doing something at this very moment (leaving, arriving) and "ved" very often has exactly that meaning, e.g. "jeg kan ikke tage telefonen, fordi jeg er lige ved at lave mad" - "I can't answer the phone, because I'm cooking". Hope this helps.
Not really. This sentence never sounded natural to me, as a native Dane. Though it probably isn't wrong in a technical sense it isn't anything I would ever say in any situation, or anything I've ever heard anyone else say. It simply sounds weird.
To ask where someone is going to swim, I might say "Hvor går i/du hen for at swømme?" (Where do you go to swim?) or "Hvor vil i/du gå hen for at svømme?" (where do you want/intend to go to swim?)
"Where are you swimming?" as in asking (say, over the phone) where someone is currently swimming, I'd say simply "Hvor svømmer i/du?" or even more simply "Hvor er i/du?" (Where are you?)