The OU says water does not need supervision. My guess is that it is not expensive to obtain the hekhsher and perceived as adding value so the manufacturers do it anyway.
Aish has a nice explanation for why manufactured products are really more complex than we think and even "simple products" need to be supervised.
It says regarding water
In the U.S., almost all bottled beverages must be pasteurized. Your spring water may run through the same bottling facility as non-kosher grape juice or drinks with non-kosher flavoring.
Although as we know from whisky if there is wine used on the same equipment without intention to add flavoring or color, it doesn't really matter and/or is mevatel beshihim.
That is likely why water is on many kosher lists of products one can use without supervision.