Gravity most definitely affects the density of water. See Gliese 436b, for example. Gliese 436b is a water planet, who's intense pressure caused all water to turn to ice, but, thanks to greenhouse gasses, is on fire.
In chemistry, pressure can change states of matter similarly to heat. Intense pressure is the same as intense cold (or a lack of heat). However, it is the joint effort of termperature and pressure that decides the density of a substance, see the fact that we have water in all three states on Earth's surface even with gravity staying roughly the same. (This leads to a triple point, the temperature and pressure at which the liquid, solid, and gas forms of a substance exist at the same time which is super cool and I recommend you check it out if you're ever bored.)
But, to answer your question, the water on your world could be the same density, less dense, or more dense depending on the temperature.
Here is a link to a water phase diagram: http://www1.lsbu.ac.uk/water/water_phase_diagram.html
Depending on what density you want your planet's water to have, you can decide on a temperature, or vise versa.