Yes they need water. Always. But if they're on grass only they mostly get it from the grass. Exceptions being lactating ewes or ewes close to lambing - they'll drink gallons a day if given the chance, and will produce more milk for it. I
at farmers who tell me 'sheep don't need water' in one breath, then complain about Texels having no milk in the next
. Give them water, say I, then cull any that still can't rear twins credibly.
When snow is on the ground, if sheep are eating grass only, they
can get their water requirements from the snow. In prolonged cold spells, they will really appreciate a little warmth in fresh water - imagine coping with weeks of -21C yourself and not being able to get a hot drink!
When they are getting supplementary feed, either cake and/or hay or silage, they will need additional water, yes. If it's not available then they will be able to eat less supplementary feed, simple as.