Hi, thanks for the report.
P.U.M.P. relies on a convention of entity names. And to be frank, .. it shouldn't rely on it. But that's just how it grew.
The convention is: what-ever pipe you chose in the dialog, add '-to-ground' behind its entity name and use that as the entity to go underground. For example:
pipe -> pipe-to-ground
steel-pipe -> steel-pipe-to-ground
water-pipe -> water-pipe-to-ground
etc.
This works rather well for other mods that add multiple types of pipes but stick close to vanilla otherwise. Advanced Fluid handling instead adds different options to changes directions. I don't know the mod that well, because I don't use it myself. But I assume it's not able to follow the vanilla naming convention because of those extra options.
I don't really know how to address this. P.U.M.P. was not made at all with something like AFH in mind. It'd require some serious rework that I don't know if I would be willing to put in at this time.