My Saddlebred has been a hay dunker since I've owned him (8 years). I have wondered about this as well, and it certainly is a hassle having to change his water all the time. We even tried putting two water buckets in his stall, thinking he would keep one for dunking and one for drinking. Not! I have heard various theories on why they do this. Perhaps they are removing the dust from the hay, but most likely it is a matter of taste. Since he now has Cushings, its actually better for him to soak his hay because it removes some of the sugar. Its just one of those things we will never really know for sure!
Oh my gosh! I dont feel so alone now! LOL. If you ever find out the answers, let me know! LOL. I have 2 grays, and 2 sorrel overos, rolling in "ahem" poo, is their specialty, especially if I have riding company over!!!! LOL. Love it.