They definitely don't. The water consumption of AI is not happening in the cooling blocks in the racks, it's happening outside in cooling towers. The heat a data center produces must be removed from the data center, and that is typically done via evaporation. The hot water interfaces with evaporative cooling towers and moves back inside to cool the chips again.

It would be neat if we could harvest that heat and use it for some purpose, but today we largely use it to make steam.

No they don’t, if you remove evaporative cooling and go to a closed loop system, the coefficient of performance is almost cut in half. The people building data centers will almost invariably choose evaporative cooling because opex is substantially cheaper.