Does filtering DMT smoke through water have any affects on the effects?

DMT in freebase form is not soluble in water so no, it will not be filtered out by the water.

However you will have minimal loss from the smoke cooling and condensing on the piece itself.
a Google search of "is DMT water soluble" will give you lots of information

I tend to avoid filtering DMT vapor through water. Partially for this reason, and partially because the vapor of properly vaporized spice really isn't hot enough to necessitate it. With good technique and a medium-small sized chamber for the vapor to travel through, the vapors will just feel like slightly warm air.