Water boils at 212°F. If the smoker gets much higher than that, the water will boil and tend to moderate the temperature. It's possible that it helps to transfer heat to the food as well by releasing heat as it condenses on the cold meat (but I tend to discount that effect.)
When I want to smoke something low 'n slow I use water in the pan. When I cook fowl where low temperature is less a benefit, I foil the pan.
Until your smoker gets some seasoning and you develop the skill to control temps where you want them, I suggest you use water in the pan (unless you are smoking fowl or otherwise wanting a high heat cook.)
Good luck with your new WSM! My family: