No, in my opinion, don't spray water on Megazorb.
It is a highly absorbent bedding which soaks wetness very well and keeps the top surface quite dry.
I guess if you spray it before use it will already be wet.
I use this for all my piggies and I am very pleased with it. I think it is far better than woodshavings - so much kinder on little feet and has no oils in it.
Where did you heard about spraying water, just out of interest?