I've had this issue with reindeer and also with wolves when there is a "heat wave" and they are in the water. This was a real issue for my polar bears too, before the water temp regulators became available. They would overheat while swimming in water, even though I had coolers in their habitat. Of course, in real life, animals might use a water pool to cool down when it gets hot, because it takes a while for water to increase in temperature.
One thing that's not super realistic is that the water temp seems to equilibrate very quickly with the air temp in game, even with very large bodies of water. Water absorbs a lot more heat to warm up than soil or air, and it takes longer to cool down too (in scientific terms, it has a high specific heat/heat capacity compared to many compounds). This is why swimming pools (in summer) are almost always cooler than air temp during the day and warmer than air temp at night, unless you live somewhere where it's consistently hot for weeks at a time, night and day. And it takes days, even weeks, of warm weather in general before an un-heated pool becomes appreciably warmer in spring. I remember being a kid and jumping in a frigid swimming pool during the first heat wave of the season!
I've begun to use the water temp regulators in game, even for non aquatic animals if they are species that like to hop into their pools. Like iloveyourzoos, putting the temp regulator in a group with the water cleaner works pretty well, as they seem to have a similar range and have a similar negative impact.
And yes, if there's a way to have two adjacent habitats hooked up to separate water temp regulators, I haven't figured it out yet. Makes it hard to have the penguins next to the gharials or something.