Never noticed this, but then I don't pay much attention to the smoke ring since you can't taste it. I do seem to get a good smoke ring without water.I recommend using water for low & slow temperature cooks, no water for hot & fast temperature cooks.
Water in the pan will give you a better smoke ring and make low & slow cooking super-easy, but not necessarily more smoke flavor. If you want more smoke ring without water in the pan, you need to spritz the meat with water, juice, etc. If you want more smoke flavor, use more smoke wood chunks or a more intense wood, e.g. switch from apple (mild) to oak (moderate) or go with apple (mild) + hickory (strong).