>> Water which is evaporated is also returned to the ecosystem. It falls back out as rain.
No, not necessary to the same one. Every body of water has a catchment area, and through the bottom parts of some lakes/rivers water sips into the earth, filling underground water levels.
Now, let's say you life on a coast with a regular winds in the ocean direction.
You basin fills with water evaporated by you, your neighbors catchments and – sometimes – ocean (wind doesn't always blow in one direction). But the large percentage of the water you evaporate goes into the ocean. Let's say 90 percent falls again on your catchment area, 10 percent falls in ocean but is regained through neighbors basins evaporation.
Now, if you increase your evaporation, you could easily drain a lot of water from your land.
Why can't they condense the vapor on site? Or simply use closed cooling loops? Would it be that much more expensive?