Direct contact may result in thermal shock if the water temperature did not bring the laser diode to ambient during the start of its operation. A decent solution would be to use something like heatpipes, which then are subjected to water flow or CPU fluid coolers, that are in constant contact with coolant before, during, and after diode operation.
Impurities in the water may cause electrolytic corrosion on electrical contacts it may have the opportunity to contact. Water droplets that fall on the lens may cause divergence issues by changing the shape of the lens. Residual water on the laser casing may permeate into internal seals and risk fogging its internals the next time you turn it on.
Personally, I'd prefer the coolant [water or glycerol] to be closed loop rather than sprayed on, but thats me, ymmv