Note: this answer assumes your intention isn't to have a normal circulatory system (only with water instead of blood) but rather that the insect takes in water, pumps it through the body, extracts nutrients and oxygen from it on the way and excretes it after one pass.
If your creature ingests water that provides oxygen and/or nutrients to its body, its mouth essentially takes over the function of the heart, so it would still have a heart.
It would also be limited to whatever nutrients can be absorbed directly, without any processing. That's a very risky situation (a dose of rainwater might cause the creature to starve) and likely to put it so far behind the competition it wouldn't last long if there are any other lifeforms in the area.
Blood is a fine-tuned distribution and maintenance system that provides many benefits aside from transporting nutrients. If blood varied in oxygen, mineral and nutrient content like the average water in the environment, our human brains would have never had a chance to evolve.
Likewise, the digestive system allows creatures to process wildly different food sources, whether they are big and tough (teeth and stomach acid), infected (stomach acid again), have their nutrients locked away (intestinal bacteria) or simply lack some vital nutrients (hey, bacteria again).
As mentioned before, by skipping on the extras, your creature pretty much needs to find the exact nutrients it needs floating in the water. So forget pure and idyllic mountains, think smelly sewage outflow of some really health-conscious humans.