I think I've read a couple anecdotes over the years that claimed water would somehow filter out some of the cannabinoids (even though thc isn't supposed to be water soluble? not sure what's up with that).
I used to use a proper vaporbong setup (arizer exq w ddave whip adapted into a straight tube piece) pretty religiously, but eventually found better effects out of a standalone whip setup, then later portable vapes with only a couple inches worth of airflow. I personally feel like a lot of the difference is subjective (more intense hits = more intense felt effects), but now when I try to go back to using any kind of water filtration, I largely always feel like something is "missing" and end up going for an extra bowl or two. It probably doesn't help that virtually all of my experiences with water setups have been at higher temps (390F+), and I generally feel like high temping also kinda diminishes the experience for me personally.
Shoutouts to the good ol' early days though, when I used to exclusively use cheap head shop vapes through powerade and pencil DIY bongs. I had an Atmos Orbit (if anyone is unfortunate enough to remember that trash) whose mouthpiece opening just happened to be the same size as the end of a mechanical pencil body, so I combined the two in plenty of ludicrous ways for extra water filtration. One setup consisted of the pencil body cut in half and shoved into a 5 hour energy shot bottle sealed with super glue for a "reverse sherlock pipe". I ended up having to rebuild them so many times it became pretty much second nature for a minute.
Anyways nowadays I actually give a shit about materials and yet find myself almost never water filtering