I'm not sure if the OP is asking about hay nets for meal size portions or hay bags for round bales. If for round bales, I think it would be a problem. For nets, I don't see a problem.
I am of the side that doesn't use hay nets. I would sooner put the hay on the ground, mess it up a bit and then water it down. What hay is lost, to me, is part of the feeding costs. I actually lose quite a bit a hay I think, but I could be more diligent about the amount I put out. When I had two horses here, I didn't lose as much hay because I was more attentive to how much they needed, and not any more.
ETA: I just saw a pic of a hay BAG used for smaller portions. It's a solid bag with just one large hole where the hay is exposed. If that's what the OP is using, I wouldn't wet hay in that. Actually, I wouldn't even use that. Not sure when it would be beneficial to have a solid bag.