Asteroid water mining is on the league of recovering hundreds of metric tons of water per asteroid, not "small chunks". And the processing tech involved is actually very simple. Essentially it's just scaled-up distillation, using mirrors to focus solar radiation to passively melt rocks and vaporize ice, which also separates out the water from impurities. The stars essentially generate water for you.
Aliens free to travel the galaxy don't need our water, they already have more than they need with even "less" expenditure of energy than bending gravity & dimensions. If aliens are using our water, it's likely merely out of convenience while they're here, and not the reason why they're here.