This issue took me a bit to track down, but apparently if the tender is using solid fuel or anything that gives a vehicle acceleration bonus, the locomotive won't load water. The only way to get it to load water is to pick up the locomotive, place it down again, and tell it to go to the station.
I noticed this when I was playing with AAI Industry, and using that mod's processed fuel. I thought it was a mod conflict, but after disabling the mod and trying again I noticed the same issue with vanilla solid fuel blocks. However it works fine if it's burning coal or wood which don't have an acceleration bonus. As a test I removed the acceleration bonus from the more advanced fuels and now the locomotive will properly load water regardless of what its fuel is.
