One of the bi-products of combustion is water, so you are expected to have some water vapor. Thats why you have a cloud out of your tail pipe when you have a really cold morning. Now I would expect that once your whole exhaust system is all warmed up, not 5 minutes, but more like 15 or 20, you shouldn't feel much water vapor. I don't know what a sign of coolent in your exhaust would look like, but I suspect it would smell funny. Antifreeze should be noticable if its burning.
Hope this helps, and that your rig doesn't have a problem