In Tales of Heresy: Blood Games, the story takes you to the South American continent at one point, and shows that there is a large power station there, whose power draws so much heat from the local area that over the millenia, a large glacier has formed. I would imagine that several spots across the globe posess similar glacial formations, and that the rest of the world's water supply has been transported off-world to terraform Mars and other planets/moons in system. Also, the 30,000CE Terra is not barren of water, like it is in the 41st millenium. I would suppose that during the Horus Heresy, many weapons were employed to dry up the world, during the siege, and that what was left has been usurped by later conflicts (Age of Apostasy?)
I'm sure I don't know it all, but that seems like a viable place to start, when figuring out where the water's gone to.