What's weird about the moon, is there is no atmosphere, so, it's like having no water for things to float in. Things that might normally float here, like water vapour, would just fall to the ground on the moon, and only float over whatever else happens to be down there from the explosion.

I'm not sure how useful your system would be though. I feel like the amount of time and energy you'd need to spend melting the regolith and collecting the gasses and whatnot, might be excessive in comparison to the amount of water you'd get. Also, I'd imagine you'd get different results from different impacts. Some impacts might be quite water rich, and others no water at all. But even the water rich ones, might not be rich enough for this to be a viable method of collecting enough water for anything.