Water balloons and lunar chassis.

Not really a bug, I think. 

Despite behaving like a player In many ways, they are likely still considered mobs, and as we know, mobs only get wet based on the world's wetness; they don't have individual wetness meters like players or Dragonfly.

An update where they rework the wetness system as a whole is where you can expect to actually wet mobs with water balloons; otherwise, you're better off waiting to see if Elsewhere has that mechanic.