I'm a Registered Nurse and I've had people tell me the same thing (that vaping causes 'water in the lungs'). If I can, I politely explain that VG is a humectant and, in effect, 'draws' water from your lungs. That's why high VG liquids make 'bigger clouds'. The vapor we see is mainly water molecules (from your lungs) that have bonded to the tiny little VG molecules. The combined VG/water molecule is big enough for us to see as vapor.
This is why vaping dehydrates us - it draws (more) water from our lungs. (Normal breathing also releases water from our lungs into the air but not as much.) It's nothing to worry about, your body naturally supplies the lungs with as much moisture as they need to function properly. Just make sure to drink enough not to become actually dehydrated.
Coughing is a different matter. Our throats/bronchial passages are lined with cilia, tiny hair-like structures that catch and sweep contaminants up toward the mouth/nose so that we 1) swallow, 2) cough or 3) sneeze them out. Smoking can paralyze those cilia.
Many smokers have a 'smoker's cough' which simply means that their cilia are still trying to do their job. As these people start vaping, their cough will usually ease off. (I had a smoker's cough, it ended after exactly one week.) Some smokers do not have a cough because their cilia are too damaged. When they switch to vaping, their cilia start recovering and doing their job, so they might then *develop* a cough. Give it time, this will ease off after a few weeks.