You're certainly right about that. Wow. Interesting, isn't it?
My "Oxford Dictionary of Current English" doesn't even have it. Hmm.
But, if you check the 4th edition of the American Heritage, you'll find the following entry:
The American Heritage® Dictionary of the English Language: Fourth Edition. 2000.
PRONUNCIATION: wôtr-spôrt, -sprt, wtr-
NOUN: A sport played or undertaken on or in the water, as swimming, snorkeling, or surfing.