Yes, i realized your first point immediately after posting
I would expect that the downpipes would travel through a small vessel containing a small amount of water so it isn't heating a huge amount at a time. Another tank of water would have to be in the car, yes. I think we've established that weight has a relatively small effect on FE and if we could get SOME return on the efficiency by capturing heat and changing it into power, it may work out fine. The engine could still run without water, too, just with less power and less efficiency.