No, you don't. If you choose to go to the waterpark on a different day than the themeparks, you are essentially getting 4 days of activities with your 3-day Hopper+ pass.
However, if you go to a waterpark during the day and then travel over to one of the themeparks in the evening, you'll be using your "plus" option and a standard themepark day on the same day. It's certainly okay to do this, but your total number of activity days gets reduced from 4 to 3.
If the hopper indicates that the days "never expire," that is true for both the themepark days and the bonus "plus" day at the waterparks. You can use all 3 of the themepark days on your next visit, save the ticket, and use the waterpark admission years later (on a return visit to Orlando).
