The reason breaking the surface gives more gaseous exchange is because for the split second that the water surface is broken there is more surface area. Think about a bubble, much more surface space on the bubble as a whole than on the amount of water the bubble is sitting on. That is the basic idea. There is a scientific principle that says gases will try to equal themselves out in adjacent objects.
http://en.wikipedia.org/wiki/Diffusion
So the more surface area = more area for diffusion to occur. So I would say that it would need to break the surface, but then again Dino could probably provide a better answer, being that he has a science degree and all.
