My experience, I haven't noticed a difference, but it's hard to tell between a crappy heat treat and a good one unless you're specifically testing for it.
I had a conversation on this subject recently, it would be best to do all your grinding wet (as in, with an continual supply of water being applied to the knife). That conversation was in regard to grinding a zero edge though, so if you just do the primary bevel with a sander and do the edge by hand you might be able to get away with it.
The problem with grinding the edge bevel is the metal is so thin that you build heat incredibly fast. You could just take off the overheated metal at the edge afterwards to get back to good steel, but then you're back to square 1 if your intentions were to have a really thin edge.
Apparently water cooling an over-heated edge is actually counter-productive as well, I'm guessing it cools too fast. Most modern steel types can actually air quench to a certain extent so it makes sense that such a thin piece of metal would cool rapidly without the rest of the blade being the same temperature.
Again, that's only if you get the edge too hot, if you avoid over-heating the edge in the first place, then using water should be fine (keeping the blade as a whole below 500 degrees F, or whatever the tempering temperature of your steel is).
A few years back I used Blue Zirconia belts for my 1x30 sander and they work well (resist loading and good longevity).
