Way more efficient, that's why they do it. Evaporating water carries an enormous amount of energy.

It uses almost half as much electricity, it’s way more efficient than air cooled chillers by themselves.

East of the 100 degree W line of longitude, there is more than enough water to use evaporative cooling if needed.

It is more efficient, in terms of cost the datacenter owner pays per unit of heat extracted. Water is cheap in places this is being done, relative to amount of heat vaporization can carry off.

You can certainly argue DCs should pay more for water than other uses, but who gets to decide what is a good vs bad use of water? Pricing in externalities is tricky, and water usage rights are especially complicated. I don't know what a good&fair solution is.

Companies will never price in externalities unless they are forced to.

You cannot have evaporative cooling without evaporating some water into the atmosphere.

A closed circuit cooling tower still has water spraying onto the closed loop process water heat exchanger coil and mixing with atmospheric air to evaporate and cool the process water indirectly instead of evaporating and recirculating the process water that doesn’t evaporate directly like in an open-loop cooling tower.

I suppose you could condense the evaporated water somehow by using a chilled umbrella or some other ridiculous contraption above the cooling tower, but why would you do that?

FWIW I sell and run commercial electrical work, primarily to mechanical contractors who are installing boilers, chillers, cooling towers, and pumps. I spend my professional life immersed in this type of equipment.

That is called a heat pipe and doesn't get you anything. It's exactly the same as a closed plain water loop with no phase-change involved.