(One thing you will find is that some forgotten beasts and megabeasts are listed as being able to teach secrets. They never actually do so, so you'll need to skip past them and look for gods with the secret)
Wait, megabeasts don't teach secrets?
Um, I don't THINK they do? Based on the wiki's description, though, I could very well be wrong about that!
Ah. I thought that with MUNDANE_RESEARCH_POSSIBLE they didn't need gods/goddesses to teach their secrets? So maybe I've just been really unlucky then I guess - my only SECRET_WATER knowers appear to be megabeasts.
Note that it is PROBABLY the case that there are relationships between spheres, and that the fire sphere probably precludes the water sphere. So if you've been seeing lots of fire mages, it may indicate that for whatever reason your entities favor fire gods, thereby preventing any gods from being generated that can teach the water secret. (Link to the old 40d sphere relationships page, which is believed to still be in effect in the current version:
http://dwarffortresswiki.org/index.php/40d:Sphere)
If megabeasts CAN teach secrets, you may have just been getting unlucky, since I think people need to be near a megabeast's lair before they can start worshiping it?
Either way, try increasing the number of spheres that can teach your water secret, and see if that causes it to show up.
EDIT: I've never seen someone discover a secret without divine aid. I think that may not be implemented yet?