Yes, it holds water and lasts for quite awhile. We didn't need to refill often, but when we did, it can be done in a second at any drinking fountain. I think ours just takes one battery and lasted just fine through our trip.
I don't ever shop there either. The only reason I did was because I'd seen another thread on the Dis saying that these little fans were good and WM was the place to find them. And I could not find them anywhere else I looked.
Sounds like the one you have that fills with water is the same as the type we got. We have one lime green and one blue one. They were handy on those hot afternoons!
So exciting that you'll be in Disney so soon!