Exactly. That's why the risk of infection is minimal.
Again: Always given the person in question is a healthy individual. If he has a urinary tract infection – well I guess in that case watersports wouldn't be a whole lot of fun anyway... Hepatitis? – Bad luck. Most STDs can probably be transmitted that way as well, but at least HIV cannot.
Realistically, the only thing that COULD happen if both partners are healthy, is that her natural lubrication might get diluted to a point where vaginal intercourse might get unpleasant.
I don't know whether this is a common risk, but at least according to my experience it CAN happen.
I had a girlfriend once who was madly into watersports and while I didn't "water her cave" on a regular basis, on some occasions where SHE pissed a lot, we would have to wait a few minutes before engaging in plain old-fashioned vaginal sex. Not a big deal, really, except in the heat of battle, minutes can seem like hours.