I think it's lucky that you weren't out of breath, otherwise it would have been difficult to finish either the triathlon or the swim. I believe if you swim out of breath it's actually called drowning - I used to train quite hard at that.
I'm not sure what your fellow coach studied when he did his physiology part of the coaching course. Swim 5k and your muscles have no stamina?
If you would like to compare being out of breath, try sprinting up a hill as far as you can, and then keep going. When you finally stop, call that a 10 on your Exertion scale. Call 1 a nice walk in the park. When you swim 5k that's about a 5 approaching a 6 to 7 as you near the end. Running 10k is about a 6 to 7, maybe hitting 8 in the final k if you've got anything left to give it something. These are just my own perception of the effort. But you can see that to finish something that long you don't go flat out all the way. As you train more you'll get a feel for the pace you can hold for the distance, and therefore be right on the 'no more' point as you reach the finish line. That'll be when you know you've got it right.